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WU Gutmann Center Public Lecture

The Valuation of Hedge Funds‘ Equity Positions

In the next WU Gutmann Center Public Lecture on March 22, Alexander Kempf, professor at the University of Cologne, will present the results of his research on the valuation of hedge funds' equity positions.

The public's trust in hedge funds has been severely damaged by the recent spectacular cases of fraud, such as the Madoff scandal. A study conducted by Alexander Kempf shows that seven per cent of equity exposures are not only incorrectly valuated but also show clear signs of deliberate manipulation. Kempf's research shows that hedge funds that claim to have particularly high rates of return are under a higher pressure to generate attractive yields. Another factor increasing the risk of misvaluation is whether hedge funds are located in offshore countries with a low level of market regulation. Moreover, misevaluations aim at reducing volatility and thus increasing the reward-to-variability ratio. According to Kemp, all these findings suggest that some hedge funds deliberately misvalue their equity exposures - an alarming factor for both investors and regulators.

Alexander Kempf

Professor Alexander Kempf is head of the Department of Business Administration and Finance at the University of Cologne. He is in charge of the Cologne PhD School in Risk Management and the managing director of the CFR Centre for Financial Research. Professor Kempf has published extensively on asset and risk management. His current research focuses on mutual and hedge funds as well as on liquidity and estimation risk. His research has been published in leading academic journals.

The WU Gutmann Center: a platform for experts and professionals

The strategic partnership between WU's Department of Finance, Accounting and Statistics and Bank Gutmann AG offers an internationally established platform for discussion and the exchange of knowledge in the finance community. The Center's numerous activities include international symposia and the renowned WU Gutmann Center Public Lectures, where recognized experts present their research results to a broader audience.

The Valuation of Hedge Funds' Equity Positions

Date: Thursday, March 22 2012, 4:00 p.m.
Location: Bank Gutmann AG, Schwarzenbergplatz 16, 1010 Vienna

Contact and information:
Dorothea Grimm
WU Gutmann Center for Portfolio Management
WU Department of Finance, Accounting and Statistics
Tel: +43 1 31336-4244
E-Mail: gutmann-center@wu.ac.at
http://www.gutmann-center.at