Evaporating liquidity is a central feature of many financial crises. Questions remain about the importance of illiquidity and the distribution of illiquidity exposure across financial market participants. We use regulatory data on hedge funds — who unlike public mutual funds often invest in...

The use of leverage is often considered a key potential systemic risk in hedge funds. Yet, data limitations have made empirical analyses of hedge fund leverage difficult. Traditional theories predict leverage and portfolio risk are positively linearly related. Alternatively, an emerging wave of...

We show that when only a few investors contribute a substantial portion of a fund's equity, the probability of large liquidity-driven fund outflows increases because investors' idiosyncratic liquidity shocks are not diversified away. Using confidential regulatory filings, we find the five...

The Securities and Exchange Commission's Form PF is the implementation of Congress's post-crisis mandate for risk reporting by hedge funds to help protect investors and monitor systemic risk. We extend the methodology of Flood, Monin, and Bandyopadhyay [2015] to assess the risk measurement...

We show that when only a few investors contribute a substantial portion of a fund's equity, the probability of large liquidity-driven fund outflows increases because investors' idiosyncratic liquidity shocks are not diversified away. Using confidential regulatory filings, we find the five...

This paper examines the precision of the U.S. Securities and Exchange Commission's Form PF as an instrument for measuring market risk exposures in the hedge fund industry. We introduce a novel methodology that systematically presents the measurement instrument, Form PF, with a range of simulated...

Hedge fund gross U.S. Treasury (UST) exposures doubled from 2018 to February 2020 to $2.4 trillion, primarily driven by relative value arbitrage trading and supported by corresponding increases in repo borrowing. In March 2020, amid unprecedented UST market turmoil, the average UST trading hedge...