Derivatives Use and Risk Taking: Evidence from the Hedge Fund Industry
研究对冲基金使用衍生品与风险承担的关系，发现71%的基金使用衍生品，且使用者通常风险更低，尤其在方向型基金中更明显，但投资者在决策时未区分是否使用衍生品。
Abstract This paper examines the use of derivatives and its relation with risk taking in the hedge fund industry. In a large sample of hedge funds, 71% of the funds trade derivatives. After controlling for fund strategies and characteristics, derivatives users on average exhibit lower fund risks (e.g., market risk, downside risk, and event risk), such risk reduction is especially pronounced for directional-style funds. Further, derivatives users engage less in risk shifting and are less likely to liquidate in a poor market state. However, the flow-performance relation suggests that investors do not differentiate derivatives users when making investing decisions.