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

論文翻譯標題: 藉由日內動態訊息交易機率指標衡量避險基金經理人資訊交易的程度
  • 陳 建璋

學生論文: Master's Thesis


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
獎項日期2014 7月 25
監督員Meng-Feng Yen (Supervisor)