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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

Skin or Skim? Inside Investment and Hedge Fund Performance

Gupta, Arpit - 2019

Hedge fund managers contribute substantial personal capital, or "skin in the game," into their funds. While these allocations may better align incentives, managers may also strategically allocate their private capital in ways that negatively affect investors. We find that funds with more inside...

Persistent link: https://www.econbiz.de/10012480059

Which Investors Matter for Equity Valuations and Expected Returns?

Koijen, Ralph S. J. - 2020

Much work in finance is devoted to identifying characteristics of firms, such as measures of fundamentals and beliefs, that explain differences in asset prices and expected returns. We develop a framework to quantitatively trace the connection between valuations, expected returns, and...

Persistent link: https://www.econbiz.de/10012481597

The Performance of Hedge Fund Performance Fees

Ben-David, Itzhak - 2020

We study the long-run outcomes associated with hedge funds' compensation structure. Over a 22-year period, the aggregate effective incentive fee rate is 2.5 times the average contractual rate (i.e., around 50% instead of 20%). Overall, investors collected 36 cents for every dollar earned on...

Persistent link: https://www.econbiz.de/10012481649

Locked Up by a Lockup : Valuing Liquidity as a Real Option

Ang, Andrew - 2010

Hedge funds often impose lockups and notice periods to limit the ability of investors to withdraw capital. We model the investor's decision to withdraw capital as a real option and treat lockups and notice periods as exercise restrictions. Our methodology incorporates time-varying probabilities...

Persistent link: https://www.econbiz.de/10012462715

Balance Sheet Adjustments in the 2008 Crisis

He, Zhiguo - 2010

We measure how securitized assets, including mortgage-backed securities and other asset-backed securities, have shifted across financial institutions over this crisis and how the availability of financing has accommodated such shifts. Sectors dependent on repo financing - in particular, the...

Persistent link: https://www.econbiz.de/10012462732

Detecting Crowded Trades in Currency Funds

Pojarliev, Momtchil - 2010

The financial crisis of 2008 highlights the importance of detecting crowded trades due to the risks they pose to the stability of the financial system and to the global economy. However, there is a perception that crowded trades are difficult to identify. To date, no single measure to capture...

Persistent link: https://www.econbiz.de/10012462954

Hedge Funds as Liquidity Providers : Evidence from the Lehman Bankruptcy

Aragon, George O. - 2009

funds failed twice as often as otherwise-similar funds after September 15 (but not before). Stocks traded by the Lehman …-connected hedge funds in turn experienced greater declines in market liquidity following the bankruptcy than other stocks; and, the … effect was larger for ex ante illiquid stocks. We conclude that shocks to traders' funding liquidity reduce the market …

Persistent link: https://www.econbiz.de/10012463314

Outside and Inside Liquidity

Bolton, Patrick - 2009

We consider a model of liquidity demand arising from a possible maturity mismatch between asset revenues and consumption. This liquidity demand can be met with either cash reserves (inside liquidity) or via asset sales for cash (outside liquidity). The question we address is, what determines the...

Persistent link: https://www.econbiz.de/10012463781

What Happened To The Quants In August 2007? : Evidence from Factors and Transactions Data

Khandani, Amir E. - 2008

with stocks in the financial sector and long Book-to-Market and short Earnings Momentum. These conjectures have significant …

Persistent link: https://www.econbiz.de/10012464182