| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w14068 |
| 来源ID | Working 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 |
| URL | https://www.nber.org/papers/w14068 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/571743 |
| 推荐引用方式 GB/T 7714 | Nicole M. Boyson,Christof W. Stahel,Rene M. Stulz. Hedge Fund Contagion and Liquidity. 2008. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w14068.pdf（336KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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