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The Impact of Hedge Funds on Asset Markets
Kruttli, Mathias; Patton, Andrew J; Ramadorai, Tarun - C.E.P.R. Discussion Papers - 2014
liquidity provision by hedge funds to noise traders to rationalize our findings, and empirically verify auxiliary predictions of …
Persistent link: https://www.econbiz.de/10011084210
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Liquidity and Governance
Back, Kerry E.; Li, Tao; Ljungqvist, Alexander P. - C.E.P.R. Discussion Papers - 2013
Is greater trading liquidity good or bad for corporate governance? We address this question both theoretically and … information concerns her own plans for taking an active role in governance. We show that an increase in the liquidity of the firm …'s stock increases the likelihood of the large investor ‘taking the Wall Street walk.’ Thus, higher liquidity is harmful for …
Persistent link: https://www.econbiz.de/10011084717
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Slow Moving Capital
Mitchell, Mark; Pedersen, Lasse Heje; Pulvino, Todd - C.E.P.R. Discussion Papers - 2007
liquidity demanders rather than providers. The effects on security markets were large and persistent: Prices dropped relative to …
Persistent link: https://www.econbiz.de/10005788922
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The Secondary Market for Hedge Funds and the Closed-Hedge Fund Premium
Ramadorai, Tarun - C.E.P.R. Discussion Papers - 2008
Employing data from a new secondary market for hedge funds, this paper documents the existence of a closed-hedge fund premium, analogous to the closed-end mutual fund premium which has been extensively studied in the literature. Over the past decade, the two premia comove with one another at...
Persistent link: https://www.econbiz.de/10005666409
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Idiosyncratic Return Volatility in the Cross-Section of Stocks
Kang, Namho; Kondor, Péter; Sadka, Ronnie - C.E.P.R. Discussion Papers - 2011
are robust to industry affiliation, stock liquidity, firm size, firm leverage, as well as sign of price change. These …
Persistent link: https://www.econbiz.de/10008925711
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On the High-Frequency Dynamics of Hedge Fund Risk Exposures
Patton, Andrew J; Ramadorai, Tarun - C.E.P.R. Discussion Papers - 2011
We propose a new method to model hedge fund risk exposures using relatively high frequency conditioning variables. In a large sample of funds, we find substantial evidence that hedge fund risk exposures vary across and within months, and that capturing within-month variation is more important...
Persistent link: https://www.econbiz.de/10009205059
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Investor Interest and Hedge Fund Returns
Ramadorai, Tarun - C.E.P.R. Discussion Papers - 2010
Employing a new dataset of over 9,000 expressed demands for over 700 hedge funds from a secondary market for hedge funds, this paper finds evidence suggesting that hedge fund investors rationally anticipate future hedge fund performance. Both buy and sell indications of interest arrive following...
Persistent link: https://www.econbiz.de/10008692307
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Change You Can Believe In? Hedge Fund Data Revisions
Patton, Andrew J; Ramadorai, Tarun; Streatfield, Michael - C.E.P.R. Discussion Papers - 2012
We analyze the reliability of voluntary disclosures of financial information, focusing on widely-employed publicly available hedge fund databases. Tracking changes to statements of historical performance recorded at different points in time between 2007 and 2011, we find that historical returns...
Persistent link: https://www.econbiz.de/10011084298
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Why is hedge fund activism procyclical?
Burkart, Mike; Dasgupta, Amil - C.E.P.R. Discussion Papers - 2013
We provide a theoretical model to explain the procyclicality of hedge fund activism. In our model, hedge funds which compete to retain investor flows excessively increase the net leverage of target firms in order to deliver high short-term payouts and signal their ability. Such excessive...
Persistent link: https://www.econbiz.de/10011084491
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Hedge Funds: Performance, Risk and Capital Formation
Fung, William; Hsieh, David A; Naik, Narayan; … - C.E.P.R. Discussion Papers - 2006
We use a comprehensive dataset of Funds-of-Hedge-Funds (FoFs) to investigate performance, risk and capital formation in the hedge fund industry over the past ten years. We confirm the finding of high systematic risk exposures in FoF returns. We divide up the past ten years into three distinct...
Persistent link: https://www.econbiz.de/10005792343