全球智库信息集成服务系统(G2TT): What Happened To The Quants In August 2007?: Evidence from Factors and Transactions Data

G2TT

来源类型	Working Paper
规范类型	报告
DOI	10.3386/w14465
来源ID	Working Paper 14465
	What Happened To The Quants In August 2007?: Evidence from Factors and Transactions Data
	Amir E. Khandani; Andrew W. Lo
发表日期	2008-11-06
出版年	2008
语种	英语
摘要	During the week of August 6, 2007, a number of quantitative long/short equity hedge funds experienced unprecedented losses. It has been hypothesized that a coordinated deleveraging of similarly constructed portfolios caused this temporary dislocation in the market. Using the simulated returns of long/short equity portfolios based on five specific valuation factors, we find evidence that the unwinding of these portfolios began in July 2007 and continued until the end of 2007. Using transactions data, we find that the simulated returns of a simple marketmaking strategy were significantly negative during the week of August 6, 2007, but positive before and after, suggesting that the Quant Meltdown of August 2007 was the combined effects of portfolio deleveraging throughout July and the first week of August, and a temporary withdrawal of marketmaking risk capital starting August 8th. Our simulations point to two unwinds---a mini-unwind on August 1st starting at 10:45am and ending at 11:30am, and a more sustained unwind starting at the open on August 6th and ending at 1:00pm---that began with stocks in the financial sector and long Book-to-Market and short Earnings Momentum. These conjectures have significant implications for the systemic risks posed by the hedge-fund industry.
主题	Financial Economics ; Portfolio Selection and Asset Pricing ; Financial Markets ; Financial Institutions ; Corporate Finance
URL	https://www.nber.org/papers/w14465
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/572140
推荐引用方式 GB/T 7714	Amir E. Khandani,Andrew W. Lo. What Happened To The Quants In August 2007?: Evidence from Factors and Transactions Data. 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
w14465.pdf（710KB）	智库出版物		限制开放	CC BY-NC-SA	浏览