| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w16801 |
| 来源ID | Working Paper 16801 |
| Hedge Fund Leverage | |
| Andrew Ang; Sergiy Gorovyy; Gregory B. van Inwegen | |
| 发表日期 | 2011-02-18 |
| 出版年 | 2011 |
| 语种 | 英语 |
| 摘要 | We investigate the leverage of hedge funds in the time series and cross section. Hedge fund leverage is counter-cyclical to the leverage of listed financial intermediaries and decreases prior to the start of the financial crisis in mid-2007. Hedge fund leverage is lowest in early 2009 when the market leverage of investment banks is highest. Changes in hedge fund leverage tend to be more predictable by economy-wide factors than by fund-specific characteristics. In particular, decreases in funding costs and increases in market values both forecast increases in hedge fund leverage. Decreases in fund return volatilities predict future increases in leverage. |
| 主题 | Financial Economics ; Financial Markets ; Portfolio Selection and Asset Pricing ; Financial Institutions ; Corporate Finance |
| URL | https://www.nber.org/papers/w16801 |
| 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/574476 |
| 推荐引用方式 GB/T 7714 | Andrew Ang,Sergiy Gorovyy,Gregory B. van Inwegen. Hedge Fund Leverage. 2011. |
| 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 | ||
| w16801.pdf（231KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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