skip to primary navigationskip to content
 

CF Weekly Workshop - Pedro Saffi

When Nov 22, 2011
from 05:00 PM to 06:00 PM
Where Room 7, Lecture Block, Sidgwick Site
Contact Name
Add event to calendar vCal
iCal

Talk by Dr Pedro Saffi

Asymmetric Risk Shifting in Long and Short Positions and their Impact on Hedge Fund Performance

(with Gabriela Bertol Domingues (LSE))

Abstract:

This paper investigates the impact of dynamic risk shifting on the performance of mutual funds, using a unique database with monthly portfolio holdings of Brazilian investment funds between 2005 and 2009. The availability of long and short positions allows us to breakdown the risk shifting of long and short holdings of stocks, uncovering significant differences in the behavior of managers when adjusting their risk exposure. We find that funds that increase the risk of their long positions tend to underperform while risk increases in short positions leave to overperformance.

« August 2017 »
August
MoTuWeThFrSaSu
123456
78910111213
14151617181920
21222324252627
28293031

RSS Feed Latest news

Best Student paper Award winners were announced on 16 June 2017

Jun 16, 2017

Winners of the 2016-2017 academic year competition were announced at the End of Term staff and student lunch, Cambridge Judge Business School

View all news

Upcoming events

Cambridge Finance Workshop - Hui Chen (Zurich)

Oct 12, 2017

Room TBA, Cambridge Judge Business School

Previous events

Upcoming events