BOYSON, NICOLE M.; STAHEL, CHRISTOF W.; STULZ, RENÉ M. - In: Journal of Finance 65 (2010) 5, pp. 1789-1816
Defining contagion as correlation over and above that expected from economic fundamentals, we find strong evidence of worst return contagion across hedge fund styles for 1990 to 2008. Large adverse shocks to asset and hedge fund liquidity strongly increase the probability of contagion....