Assessing the Level of Informed Trading of Hedge Funds by the DPIN Measure

Abstract

The main purpose in this research is to assess the level of informed trading of hedge funds using Chang Chang and Wang (2014)’s dynamic intraday measure of the probability of informed trading (hereafter the DPIN measure) Basing on Titman and Tiu (2011) our empirical results indicate that funds with lower R-squareds tend to have better risk-adjusted performance lower incentive fees and higher DPIN measure than those with higher R-squareds Our out-of-sample results also indicate that funds which have a lower R-squared a lower active risk and a higher DPIN measure during the in-sample period tend to show a better risk-adjusted performance during the immediately following out-of-sample period

Date of Award	2014 Jul 25
Original language	English
Supervisor	Meng-Feng Yen (Supervisor)