G2TT
来源类型Working Paper
规范类型报告
DOI10.3386/w14068
来源IDWorking Paper 14068
Hedge Fund Contagion and Liquidity
Nicole M. Boyson; Christof W. Stahel; Rene M. Stulz
发表日期2008-06-06
出版年2008
语种英语
摘要Using hedge fund indices representing eight different styles, we find strong evidence of contagion within the hedge fund sector: controlling for a number of risk factors, the average probability that a hedge fund style index has extreme poor performance (lower 10% tail) increases from 2% to 21% as the number of other hedge fund style indices with extreme poor performance increases from zero to seven. We investigate how changes in funding and asset liquidity intensify this contagion, and find that the likelihood of contagion is high when prime brokerage firms have poor performance (which would be expected to affect hedge fund funding liquidity adversely) and when stock market liquidity (a proxy for asset liquidity) is low. Finally, we examine whether extreme poor performance in the stock, bond, and currency markets is more likely when contagion in the hedge fund sector is high. We find no evidence that contagion in the hedge fund sector is associated with extreme poor performance in the stock and bond markets, but find significant evidence that performance in the currency market is worse when hedge fund contagion is high, consistent with the effects of an unwinding of carry trades.
主题Financial Economics ; Portfolio Selection and Asset Pricing ; Financial Markets ; Financial Institutions
URLhttps://www.nber.org/papers/w14068
来源智库National Bureau of Economic Research (United States)
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条目标识符http://119.78.100.153/handle/2XGU8XDN/571743
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Nicole M. Boyson,Christof W. Stahel,Rene M. Stulz. Hedge Fund Contagion and Liquidity. 2008.
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