Research Interests: 

Investments, capital market anomalies, mutual funds and hedge funds, econometrics

Research Awards:

Research Fellow, Isenberg School of Management, University of Massachusetts, 2007, 2008, $20,000

The BSI Gamma Foundation Grant, $10,000

The Best Paper Award, the 2007 China International Conference in Finance

Award for Outstanding Accomplishment in Research and Creative Activity, 2006, University of Massachusetts, Amherst

Outstanding Research Award, Isenberg School of Management, University of Massachusetts, 2006

INQUIRE UK Research Grant, 2006, £10,000

The Q-Group Research Grant, 2005, $10,000

One of the Best Paper Awards (2,000 Euros) in Hedge Funds, European Finance Associate Meetings, 2003

The Foundation for Managed Derivatives Research Grant, $15,000, 2000

Publication:

Predicting Hedge Fund Failure: A Comparison of Risk Measures (with Hyuna Park), 2008, forthcoming, The Journal of Financial and Quantitative Analysis.

1.     Estimating Operational Risk for Hedge Funds: The ɷ Score (with Stephen Brown, Will Goetzmann, and Chris Schwarz), 2008, forthcoming, The Financial Analysts Journal.

Mandatory Disclosure and Operational Risk: Evidence from Hedge Fund Registration (with Stephen Brown, Will Goetzmann, and Chris Schwarz), 2007, forthcoming, Journal of Finance.

Do Market Timing Hedge Funds Time the Markets? (with Yong Chen),  The Journal of Financial and Quantitative Analysis 42 (Invited), 827-856, Dec. 2007.

Value at Risk and the Cross-Section of Hedge Fund Returns (with Turan Bali and Suleyman Gokcan). Journal of Banking and Finance 31 (Invited), 1135-1166, April 2007.

Risk Measures for Hedge Funds (with Hyuna Park). European Financial Management 13, 333-370, March 2007.

Do Hedge Funds Have Enough Capital? A Value at Risk Approach (with Anurag Gupta), Journal of Financial Economics 77, 219-253, July 2005.

Alternative Investments: CTAs, Hedge Funds, and Funds-of-Funds. Journal of Investment Management 2, 76-93, Fourth Quarter 2004.

Fees on Fees in Funds of Funds (with Stephen Brown and William Goetzmann). Received a best paper award in hedge funds at the European Finance Association Meeting, 2003. Journal of Investment Management 2, 39-56, Fourth Quarter 2004.

Hedge Fund Returns: Auditing and Accuracy, The Journal of Portfolio Management 29 (Invited), 111-122, Spring 2003.

Hedge Fund Performance: 1990-1999. Financial Analysts Journal 57 (Invited), 11-18, Jan./Feb. 2001.

Hedge Funds: The Living and the Dead, The Journal of Financial and Quantitative Analysis 35 (Invited), 309-326, Sept. 2000.

Portfolio Formation, Measurement Errors, and Beta Shifts: A Random Sampling Approach,  The Journal of Financial Research 23, 261-284, Fall 2000.

Do All-stars Shine? An Evaluation of Analysts' Recommendations (with Hemang Desai and Ajai Singh). Financial Analysts Journal 56, 20-29, May/June 2000.

On the Performance of Hedge Funds. 1999, Financial Analysts Journal 55, 72-85.

Price Pressure: Evidence from the ‘Dartboard’ Column. The Journal of Business 72, 119-134, January 1999.

Working papers:

Operational Risk for Hedge Funds: A Due Diligence Approach (with Stephen Brown, William Goetzmann, and Chris Schwarz). A paper supported by grants from INQUIRE UK and BSI Gamma Foundation.

Investor Flows and Share Restrictions in the Hedge Fund Industry (with Bill Ding, Mila Getmansky, and Russ Wermers). A paper supported by the Q-Group Research Grant.

Predicting Hedge Fund Failure: A Comparison of Risk Measures (with Hyuna Park).

Hedge Fund Due Diligence: A Source of Alpha in a Hedge Fund Portfolio (with Stephen Brown and Tom Fraser).

Share Restrictions, Liquidity Premium, and Offshore Hedge Funds (with Hyuna Park).

Do Mutual Funds with Longer Track Records Outperform? Evidence from Small-Cap Funds  (with Sam Thomas).

Work in process:

Manager Characteristics and Hedge Fund Performance (with Stephen Brown and William Goetzmann).

Send me an e-mail: bliang@som.umass.edu