Workshop Series: Spencer Martin

21 October, 2011 - 10:30 to 12:00
Room 105 Colin Clark Building 39

We use a unique dataset of long equity option positions to study whether derivative usage is related to risk-shifting behavior of poorly performing hedge fund managers. In contrast to prior studies, we find that option positions are associated with greater increases in portfolio risk of poorly performing hedge funds. This effect is more pronounced under absolute fund performance evaluation than relative fund performance and for non-directional options strategies than directional options strategies.

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Spencer Martin, Professor of Finance, University of Melbourne

Spencer completed his PhD at the Wharton School, University of Pennsylvania, and joined the Graduate School of Business & Economics, University of Melbourne in 2009 from Carnegie Mellon University. His research interests include investments, empirical asset pricing, and behavioral finance. He has published widely in professional journals as well as in internationally reviewed academic journals including the Journal of Financial Economics, Review of Financial Studies, Journal of Portfolio Management, and the Journal of Finance.

Research Interests: Investments, empirical asset pricing, and behavioral finance.