Theses and Dissertations - UTB/UTPA
Date of Award
Doctor of Philosophy (PhD)
Dr. Dave O. Jackson
Dr. Jan M. Smolarski
Dr. Salvador Contreras
Chapter I studies the effect of tax policies (Tax Information Exchange Agreements (TIEAS)) on hedge fund flows and indirectly on hedge fund manager and investor behavior in six tax haven countries. I find that structural changes in both hedge fund dollar flows and net flows occurred in the tax haven countries as a result of TIEAS. I also find that both hedge fund dollar flows and net flows of the countries that signed TIEAS and the countries that did not sign TIEAS increased after their structural break points. Chapter II investigates whether a causal relationship exists between hedge fund flows and performance. Six major offshore tax haven countries (from Chapter I) and the U.S. are included in the study. Applying unit root and cointegration models coupled with a bivariate vector autocorrelation model, I find that hedge fund return leads hedge fund flows in the U.S., Bahamas, and Bermuda. This suggests that hedge fund investors in these countries make their investment decisions based on the aggregated performance of hedge funds. However, data from the U.S. indicates a moderate feedback relationship. Results from impulse response analysis show that while an increase in hedge fund returns leads to an increase in flows in all tax haven countries, U.S. hedge fund flows decrease with increasing performance. Chapter III traces the geographic location of U.S. hedge funds and funds of funds and estimates the determinants of U.S. hedge fund and fund of funds mangers’ location choices. A nested logit model developed by McFadden (1974) is used in the analysis. I find that fund type, lock up period, number of employees, management fees, and performance fees are significant determinants of hedge funds and funds of funds managers’ location choices. High water mark is not a significant determinant of fund managers’ location choices. In addition, hurdle rate is a significant determinant when fund managers are choosing between whether to register in tax haven or non-tax haven.
University of Texas-Pan American
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