Bussière, Matthieu; Hoerova, Marie; Klaus, Benjamin - European Central Bank - 2014
financial stability. We find that hedge funds’ commonality increased significantly from 2003 until 2006. We attribute this rise … mainly to the increase in hedge funds’ exposure to emerging market equities, which we identify as a common factor in hedge … fund returns over this period. Our results show that funds with a high commonality were affected disproportionately by …