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Risk Spillover among Hedge Funds : The Role of Redemptions and Fund Failures
Klaus, Benjamin - 2009
This paper aims at analysing the mortality patterns of hedge funds over the period January 1994 to May 2008. In particular, we investigate the extent to which a spillover of risk among hedge funds through redemptions and failures of other funds has affected the probability of fund failure. We...
Persistent link: https://www.econbiz.de/10013154957
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Commonality in Hedge Fund Returns : Driving Factors and Implications
Bussière, Matthieu - 2014
We measure the commonality in hedge fund returns, identify its main driving factor and analyze its implications for 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...
Persistent link: https://www.econbiz.de/10013057670
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Are Fund Managers Rewarded for Taking Cyclical Risks?
Ryan, Ellen - 2022
, which may keep managers from fully internalising the effects of adverse outcomes on their portfolios. The fact that market … discipline may not be sufficient to ensure prudential behaviour among managers, combined with the externalities of this risk …
Persistent link: https://www.econbiz.de/10013298369
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Bank credit and market-based finance for corporations: The effects of minibond issuances
Ongena, Steven; Pinoli, Sara; Rossi, Paola; Scopelliti, … - 2020
We study the effects of the diversification of funding sources on the financing conditions for firms. We exploit a regulatory reform which took place in Italy in 2012, i.e., the introduction of "minibonds", which opened a new market-based funding opportunity for unlisted firms. Using the Italian...
Persistent link: https://www.econbiz.de/10012422170
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Bank Credit and Market-Based Finance for Corporations : The Effects of Minibond Issuances
Ongena, Steven; Pinoli, Sara; Rossi, Paola; Scopelliti, … - 2021
We study the effects of the diversification of funding sources on the financing conditions for firms. We exploit a regulatory reform which took place in Italy in 2012, i.e., the introduction of “minibonds”, which opened a new market-based funding opportunity for unlisted firms. Using the...
Persistent link: https://www.econbiz.de/10013314794
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Risk spillover among hedge funds: The role of redemptions and fund failures
Klaus, Benjamin; Rzepkowski, Bronka - 2009
This paper aims at analysing the mortality patterns of hedge funds over the period January 1994 to May 2008. In particular, we investigate the extent to which a spillover of risk among hedge funds through redemptions and failures of other funds has affected the probability of fund failure. We...
Persistent link: https://www.econbiz.de/10011605158
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Ranking, Risk-Taking and Effort : An Analysis of the ECB's Foreign Reserves Management
Scalia, Antonio; Sahel, Benjamin - 2021
The investment of the ECB reserves in US dollars and yen, delegated to a network of portfolio managers in the … existence of risk-shifting behaviour by reserve managers related to their year-to-date ranking: interim losers increase relative … risk in the second half of the year, in the same way as mutual fund managers. In the dollar case, risk-shifting is …
Persistent link: https://www.econbiz.de/10013315986
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Market failures in market-based finance
Di Iasio, Giovanni; Kryczka, Dominika - 2021
risk-sensitive solvency constraint. They seek to allocate funds to asset managers (AMs) that provide diversification when …
Persistent link: https://www.econbiz.de/10012515466
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Market Failures in Market-Based Finance
di Iasio, Giovanni; Kryczka, Dominika - 2021
risk-sensitive solvency constraint. They seek to allocate funds to asset managers (AMs) that provide diversification when …
Persistent link: https://www.econbiz.de/10013229281
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The Costs and Beliefs Implied by Direct Stock Ownership
Barth, Daniel - 2014
This paper develops a structural model of the costs and beliefs required to rationalize household direct stock ownership. In the model, households believe they can learn information about individual stock returns through costly research. The model provides a novel explanation for many empirical...
Persistent link: https://www.econbiz.de/10013057671