Hedge fund leverage

被引：129

作者：

Ang, Andrew ^{[1
,2
]}

Gorovyy, Sergiy ^{[1
]}

van Inwegen, Gregory B. ^{[3
]}

机构：

[1] Columbia Univ, New York, NY 10027 USA

[2] NBER, Cambridge, MA 02138 USA

[3] Citi Private Bank, New York, NY USA

来源：

JOURNAL OF FINANCIAL ECONOMICS | 2011年 / 102卷 / 01期

关键词：

Capital structure; Long-short positions; Alternative investments; Exposure; Hedging; Systemic risk; STOCK RETURNS; LIQUIDITY; RISK; PERFORMANCE; INCENTIVES; STRATEGIES;

D O I：

10.1016/j.jfineco.2011.02.020

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

We investigate the leverage of hedge funds in the time series and cross-section. Hedge fund leverage is counter-cyclical to the leverage of listed financial intermediaries and decreases prior to the start of the financial crisis in mid-2007. Hedge fund leverage is lowest in early 2009 when the market leverage of investment banks is highest. Changes in hedge fund leverage tend to be more predictable by economy-wide factors than by fund-specific characteristics. In particular, decreases in funding costs and increases in market values both forecast increases in hedge fund leverage. Decreases in fund return volatilities predict future increases in leverage. (C) 2011 Elsevier B.V. All rights reserved.

引用

页码：102 / 126

页数：25

共 49 条

[1] Leverage, Moral Hazard, and Liquidity [J].