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What Happened To The Quants In August 2007? : Evidence from Factors and Transactions Data
Khandani, Amir E. - 2008
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...
Persistent link: https://www.econbiz.de/10012464182
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Fooling Some of the People All of the Time : The Inefficient Performance and Persistence of Commodity Trading Advisors
Bhardwaj, Geetesh - 2008
Investors face significant barriers in evaluating the performance of hedge funds and commodity trading advisors (CTAs). The only available performance data comes from voluntary reporting to private companies. Funds have incentives to strategically report to these companies, causing these data...
Persistent link: https://www.econbiz.de/10012464223
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Hedge Funds With Style
Brown, Stephen J. - 2001
The popular perception is that hedge funds follow a reasonably well defined market-neutral investment style. While this long-short investment strategy may have characterized the first hedge funds, today hedge funds are a reasonably heterogeneous group. They are better defined in terms of their...
Persistent link: https://www.econbiz.de/10012470553
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The Economics of Hedge Funds : Alpha, Fees, Leverage, and Valuation
Lan, Yingcong - 2011
Hedge fund managers are compensated via management fees on the assets under management (AUM) and incentive fees indexed …
Persistent link: https://www.econbiz.de/10012461815
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Skill and Fees in Active Management
Stambaugh, Robert F. - 2019
Greater skill of active investment managers can mean less fee revenue in a general equilibrium. Although more …-skilled managers earn more revenue than less-skilled managers, greater skill for active managers overall can imply less revenue for … their industry. Greater skill allows managers to identify mispriced securities more accurately and thereby make better …
Persistent link: https://www.econbiz.de/10012479976
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Hedging Climate Change News
Engle, Robert F, III. - 2019
We propose and implement a procedure to dynamically hedge climate change risk. To create our hedge target, we extract innovations from climate news series that we construct through textual analysis of high-dimensional data on newspaper coverage of climate change. We then use a mimicking...
Persistent link: https://www.econbiz.de/10012479685
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Do Hedge Funds Profit From Mutual-Fund Distress?
Chen, Joseph - 2008
This paper explores the question of whether hedge funds engage in front-running strategies that exploit the predictable trades of others. One potential opportunity for front-running arises when distressed mutual funds -- those suffering large outflows of assets under management -- are forced to...
Persistent link: https://www.econbiz.de/10012464861
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The Cost of Capital for Alternative Investments
Jurek, Jakub W. - 2013
We document that the risks and pre-fee returns of broad hedge fund indices can be accurately matched with simple equity index put writing strategies, which provide monthly liquidity and complete transparency over their state-contingent payoff profiles. This nonlinear risk exposure combines with...
Persistent link: https://www.econbiz.de/10012459019
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Hedge Fund Leverage
Ang, Andrew - 2011
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...
Persistent link: https://www.econbiz.de/10012461856
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Foreign-Affiliate Activity and U.S. Skill Upgrading
Blonigen, Bruce A. - 1999
There has been little analysis of the impact of inward foreign direct investment (FDI) on U.S. wage inequality, even though the presence of foreign-owned affiliates in the United States has arguably grown more rapidly in significance for the U.S. economy than trade flows. Using data across U.S....
Persistent link: https://www.econbiz.de/10012471760