A hedge fund's capital structure is fragile because uninformed fund investors are highly loss sensitive and easily withdraw capital in response to bad news. Hedge fund managers, sharing common investors and interacting with each other through market price, sensitively react to other funds'...

We develop a market model to illustrate synchronized market runs by informed and rational hedge funds. A hedge fund's capital structure is fragile because uninformed fund investors are highly loss sensitive and easily withdraw capital in response to bad news. Hedge fund managers, sharing common...

This study examines how global risk aversion affects future real economic activity (REA). We propose a new international real business cycle (RBC) framework with a stochastic global risk aversion spillover process by extending the RBC model. Our model reflects output competition and risk...

This study comprehensively examines the economic and financial drivers of volatility changes in terms of a cross-country perspective. We exhaustively review a wide range of studies related to financial volatility forecasting and collect a diverse set of prediction variables. By analyzing them...