| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP10151 |
| DP10151 The Impact of Hedge Funds on Asset Markets | |
| Andrew Patton | |
| 发表日期 | 2014-09-21 |
| 出版年 | 2014 |
| 语种 | 英语 |
| 摘要 | This paper provides empirical evidence of the impact of hedge funds on asset markets. We construct a simple measure of the aggregate illiquidity of hedge fund portfolios, and show that it has strong in- and out-of-sample forecasting power for 72 portfolios of international equities, corporate bonds, and currencies over the 1994 to 2013 period. The forecasting ability of hedge fund illiquidity for asset returns is in most cases greater than, and provides independent information relative to, well-known predictive variables for each of these asset classes. We construct a simple equilibrium model based on liquidity provision by hedge funds to noise traders to rationalize our findings, and empirically verify auxiliary predictions of the model. |
| 主题 | Financial Economics |
| 关键词 | Bonds Currencies Equities Hedge funds Liquidity Return predictability |
| URL | https://cepr.org/publications/dp10151 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/538984 |
| 推荐引用方式 GB/T 7714 | Andrew Patton. DP10151 The Impact of Hedge Funds on Asset Markets. 2014. |
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