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Hedge Funds as Liquidity Providers : Evidence from the Lehman Bankruptcy
Aragon, George O. - 2009
Using the September 15, 2008 bankruptcy of Lehman Brothers as an exogenous shock to funding costs, we show that hedge funds act as liquidity providers. Hedge funds using Lehman as prime broker could not trade after the bankruptcy, and these funds failed twice as often as otherwise-similar funds...
Persistent link: https://www.econbiz.de/10012463314
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Managing Public Investment Funds : Best Practices and New Challenges
Mitchell, Olivia S. - 2008
Large publicly-held pools of assets are playing an increasingly prominent role in the global investment arena. We compare three distinct forms of such public funds, namely foreign exchange reserve funds, sovereign wealth funds, and public pension funds, to highlight their differences and...
Persistent link: https://www.econbiz.de/10012464569
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Home Bias and Local Contagion : Evidence from Funds of Hedge Funds
Sialm, Clemens - 2013
This paper analyzes the geographical preferences of hedge fund investors and the implication of these preferences for hedge fund performance. We find that funds of hedge funds overweight their investments in hedge funds located in the same geographical areas and that funds of funds with a...
Persistent link: https://www.econbiz.de/10012459091
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Indirect Incentives of Hedge Fund Managers
Lim, Jongha - 2013
Indirect incentives exist in the money management industry when good current performance increases future inflows of new capital, leading to higher future fees. We quantify the magnitude of indirect performance incentives for hedge fund managers. Flows respond quickly and strongly to performance;...
Persistent link: https://www.econbiz.de/10012459758
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Common Risk Factors in Cryptocurrency
Liu, Yukun - 2019
We find that three factors - cryptocurrency market, size, and momentum - capture the cross-sectional expected cryptocurrency returns. We consider a comprehensive list of price- and market-related factors in the stock market, and construct their cryptocurrency counterparts. Nine cryptocurrency...
Persistent link: https://www.econbiz.de/10012479831
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The Microeconomics of Cryptocurrencies
Halaburda, Hanna - 2020
Since its launch in 2009 much has been written about Bitcoin, cryptocurrencies and blockchains. While the discussions … including macroeconomics, law and economics and computer science. This survey focuses on the microeconomics of cryptocurrencies …
Persistent link: https://www.econbiz.de/10012481332
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Risks and Returns of Cryptocurrency
Liu, Yukun - 2018
We establish that the risk-return tradeoff of cryptocurrencies (Bitcoin, Ripple, and Ethereum) is distinct from those … of stocks, currencies, and precious metals. Cryptocurrencies have no exposure to most common stock market and … returns. Finally, we create an index of exposures to cryptocurrencies of 354 industries in the US and 137 industries in China …
Persistent link: https://www.econbiz.de/10012452844
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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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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
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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