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Time-varying exposures and leverage in hedge funds

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Author Info
Patrick McGuire
Eli Remolona
Kostas Tsatsaronis
Abstract

Style analysis shows that as market conditions change so do the investment strategies of hedge funds. It also provides a simple indicator of hedge fund leverage that varies over time. The indicator suggests that leverage tended to be high in 1997-98 but lower more recently.

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Publisher Info
Article provided by Bank for International Settlements in its journal BIS Quarterly Review.

Volume (Year): (2005)
Issue (Month): (March)
Pages:
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Handle: RePEc:bis:bisqtr:0503f

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Find related papers by JEL classification:
G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
G12 - Financial Economics - - General Financial Markets - - - Asset Pricing

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This page was last updated on 2008-4-29.

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