Boyson, Nicole M.; Stahel, Christof W.; Stulz, Rene M. - Charles A. Dice Center for Research in Financial … - 2011
In Boyson, Stahel, and Stulz (2010), we investigate whether hedge funds experience worst return contagion-- that is, correlations in extremely poor returns that are over and above those expected from economic fundamentals. We find strong evidence of contagion among hedge funds using eight...