The financial crisis and hedge fund returns

被引：3
|
作者：
Bollen, Nicolas P. B. [1 ]
机构：
[1] Vanderbilt Univ, Owen Grad Sch Management, Nashville, TN 37203 USA
来源：
REVIEW OF DERIVATIVES RESEARCH | 2011年 / 14卷 / 02期
关键词：
Hedge funds; Financial crisis; Systemic risk; EARNINGS MANAGEMENT; RISK; PERFORMANCE; STRATEGIES;
D O I：
10.1007/s11147-011-9064-7
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
The financial crisis has focused the lens of politicians and regulators on hedge funds as a source of systemic and operational risk in asset markets. We examine the extent to which available data can provide useful information regarding the impact of hedge funds on the financial system. Using data from January 1994 through September 2008, we find dramatic changes in the exposures of hedge funds to risk factors, accompanied by a significant and widespread increase in correlation between hedge fund and factor returns. Lastly, the discontinuity at zero in the cross-sectional distribution of hedge fund returns persists throughout the sample.
引用
收藏
页码：117 / 135
页数：19
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