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Hedge fund stock trading in the financial crisis of 2007 - 2009
Ben-David, Itzhak; Franzoni, Francesco; Moussawi, Rabih - 2011 - Rev. version May 2011
restrictions and institutional ownership in hedge funds. Hedge funds, Liquidity, Aggregate Liquidity, Arbitrage, Funding Liquidity …, Illiquidity, Liquidity Crisis, Crisis Stock Market Crash, Limits to Arbitrage, Liquidity Spirals, Short Selling, Short Sellers, 13 …
Persistent link: https://www.econbiz.de/10009009543
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Momentum crashes
Daniel, Kent; Moskowitz, Tobias J. - 2013
Across numerous asset classes, momentum strategies have historically generated high Sharpe ratios and strong positive alphas relative to standard asset pricing models. However, the returns to momentum strategies are negatively skewed: they experience infrequent but strong and persistent strings...
Persistent link: https://www.econbiz.de/10010257503
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Exchange traded funds (ETFs)
Ben-David, Itzhak; Franzoni, Francesco; Moussawi, Rabih - 2017
with the index. Arbitrage activity is a necessary component in minimizing the price discrepancy between ETFs and the … underlying securities. During turbulent market episodes, however, arbitrage is limited and ETF prices diverge from those of the …
Persistent link: https://www.econbiz.de/10011620013