In der Literatur wird häufig vermutet, dass eine zunehmende Anzahl Hedgefonds einen negativen Einfluss auf die Renditen dieser Fonds haben könnte. Dieser Vermutung wird in diesem Beitrag nachgegangen. Wir verfolgen dabei zwei Ziele: Zum einen geben wir einen Überblick über die Entwicklung des weltweiten Hedgefondsmarkts und identifizieren die wichtigsten Treiber des Marktwachstums. Zum anderen untersuchen wir den Zusammenhang zwischen der Grösse des Hedgefondsmarkts und den Fondsrenditen. Auch wenn derzeit auf empirischer Basis kein eindeutiger Zusammenhang aufgedeckt werden kann, sprechen aus Sicht der Theorie einige Gründe für einen negativen Zusammenhang zwischen dem Marktumfang und den Renditen der Fonds.
The aim of this article is to summarize the knowledge on market discipline in insurance and other financial service sectors. Market discipline can be defined as the ability of customers, investors, intermediaries (agents, brokers), and evaluators (analysts, auditors, rating agencies) to monitor and influence a company's management. Looking at banking is especially interesting, since market discipline in this field has been studied extensively. Based on existing knowledge, we develop a framework for researching market discipline in insurance that includes its most important drivers and impediments. The results highlight a significant need for continuing research. The findings are of relevance not only for European insurers and regulators, but for institutions outside Europe.
This paper reports the main results of the 2012 Risk Premium Project (RPP) update, a yearly review of actuarial and finance literature on the theory and empirics of risk assessment for property-casualty insurance. Pricing and modeling insurance risks and methodological advancement in risk valuation were popular fields of research in 2012. Of special note is new work on behavioral pricing and liquidity. Additionally, underwriting cycles attracted some controversy, and emerging risks, such as sys-temic risk and potential interrelations between insurance and other financial markets, were also areas of intense discussion.
Data envelopment analysis (DEA) is a nonparametric method from the area of operations research that measures the relationship of produced outputs to assigned inputs and determines an efficiency score. This efficiency score can be interpreted as a performance measure in investment analysis. Recent literature contains intensive discussion of using DEA to measure the performance of hedge funds, as this approach yields some advantages compared to classic performance measures. This paper extends the current discussion in three aspects. First, we present different DEA models and analyze their suitability for hedge fund performance measurement. Second, we systematize possible inputs and outputs for DEA and again examine their suitability for hedge fund performance measurement. Third, two rules are developed to select inputs and outputs in DEA of hedge funds. Using this framework, we find a completely new ranking of hedge funds compared to classic performance measures and compared to previously proposed DEA applications. Thus, we propose that classic performance measures should be supplemented with DEA based on the suggested rules to fully capture hedge fund risk and return characteristics.
