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Baele, Lieven; Bekaert, Geert; Inghelbrecht, Koen; Wei, Min - Federal Reserve Board (Board of Governors of the … - 2014

controlling for standard risk factors. Liquidity deteriorates on FTS days both in the bond and equity markets. Both economic …

Persistent link: https://www.econbiz.de/10010787051

Liquidity risk and hedge fund ownership

Cao, Charles; Petrasek, Lubomir - Federal Reserve Board (Board of Governors of the … - 2011

liquidity risk in the cross-section of stocks. After controlling for institutional preferences for stock characteristics, we … find that stocks held by hedge funds as marginal investors are more sensitive to changes in aggregate liquidity than … negative abnormal returns during liquidity crises. These findings support the theory of Brunnermeier and Pedersen (2009) that …

Persistent link: https://www.econbiz.de/10009364677

Hedge funds and systemic risk

Bernanke, Ben S. - Federal Reserve Board (Board of Governors of the … - 2006

a speech at the Federal Reserve Bank of Atlanta’s 2006 Financial Markets Conference, Sea Island, Georgia

Persistent link: https://www.econbiz.de/10010725399

Hedge funds: testimony before the Committee on Financial Services, U.S. House of Representatives, July 11, 2007

Warsh, Kevin - Federal Reserve Board (Board of Governors of the … - 2007

Persistent link: https://www.econbiz.de/10010725425

The role of hedge funds in the capital market: testimony before the Subcommittee on Securities and Investment, Committee on Banking, Housing, and Urban Affairs, U.S. Senate, May 16...

Parkinson, Patrick M. - Federal Reserve Board (Board of Governors of the … - 2006

Persistent link: https://www.econbiz.de/10010725439

Market conditions and hedge fund survival

Carlson, Mark; Steinman, Jason - Federal Reserve Board (Board of Governors of the … - 2008

As the hedge fund industry has grown, there has been increased concern that, during sharp market moves, hedge fund failures could exacerbate the deterioration in financial conditions and deepen a crisis. However, there has not been much formal analysis regarding the impact of financial market...

Persistent link: https://www.econbiz.de/10005394014

The role of hedge funds in the capital market: testimony before the Subcommittee on Securities and Investment, Committee on Banking, Housing, and Urban Affairs, U.S. Senate, May 16...

Parkinson, Patrick M. - Federal Reserve Board (Board of Governors of the … - 2006

Persistent link: https://www.econbiz.de/10005512676

Hedge fund holdings and stock market efficiency

Cao, Charles; Liang, Bing; Lo, Andrew W.; Petrasek, Lubomir - Federal Reserve Board (Board of Governors of the … - 2014

funds experienced extreme declines in price efficiency during liquidity crises, most notably in the last quarter of 2008 …

Persistent link: https://www.econbiz.de/10010784181

Returns to Active Management: The Case of Hedge Funds

Kazemi, Maziar; Islamaj, Ergys - Federal Reserve Board (Board of Governors of the … - 2014

Do more active hedge fund managers generate higher returns than their less active peers? We attempt to answer this question. Using Kalman Filter techniques, we estimate the risk exposure dynamics of a large sample of live and dead equity long-short hedge funds. These estimates are then used to...

Persistent link: https://www.econbiz.de/10010892321

Frequency of observation and the estimation of integrated volatility in deep and liquid financial markets

Chaboud, Alain; Chiquoine, Benjamin; Hjalmarsson, Erik; … - Federal Reserve Board (Board of Governors of the … - 2007

superior depth and liquidity of trading in FX and government bond markets contributes importantly to this difference. …

Persistent link: https://www.econbiz.de/10005368149