Time-varying exposures and leverage in hedge funds

Style analysis shows that as market conditions change so do the investment strategies of hedge funds. It also provides a simple indicator of hedge fund leverage that varies over time. The indicator suggests that leverage tended to be high in 1997-98 but lower more recently.

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Year of publication:	2005
Authors:	McGuire, Patrick ; Remolona, Eli ; Tsatsaronis, Kostas
Published in:	BIS Quarterly Review. - Bank for International Settlements (BIS). - 2005, March
Publisher:	Bank for International Settlements (BIS)

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Extent:	application/pdf text/html
Type of publication:	Article
Classification:	G11 - Portfolio Choice ; G12 - Asset Pricing
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005063289