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Hedge Funds and Financial Stability: An Analysis of Their Factor Exposures

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Author Info
Brealey, Richard A
Kaplanis, Evi
Abstract

In recent years, hedge funds and other highly leveraged institutions have attracted considerable criticism and have been accused of accentuating economic crises by taking large speculative positions in emerging markets. This paper examines how much information about hedge fund exposures can be inferred from fund returns. We provide supporting evidence that factor exposures are not constant and that funds exhibit herding. However, there are important difficulties in using returns data to identify speculative portfolio shifts and we show that considerable caution is needed in drawing inferences about hedge fund activities during crisis periods. Copyright 2001 by Blackwell Publishers Ltd.

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Article provided by Blackwell Publishing in its journal International Finance.

Volume (Year): 4 (2001)
Issue (Month): 2 (Summer)
Pages: 161-87
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Handle: RePEc:bla:intfin:v:4:y:2001:i:2:p:161-87

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  1. Loriana Pelizzon & Monica Billio & Mila Getmansky, 2008. "Crisis and Hedge Fund Risk," Working Papers 2008_10, University of Venice "Ca' Foscari", Department of Economics. [Downloadable!]
  2. Monica Billio & Mila Getmansky & Loriana Pelizzon, 2006. "Phase-Locking and Switching Volatility in Hedge Funds," Working Papers 2006_54, University of Venice "Ca' Foscari", Department of Economics. [Downloadable!]
  3. Nicole M. Boyson & Christof W. Stahel & Rene M. Stulz, 2006. "Is There Hedge Fund Contagion?," NBER Working Papers 12090, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  4. Azman-Saini, W.N.W., 2006. "Hedge funds, exchange rates and causality: Evidence from Thailand and Malaysia," MPRA Paper 716, University Library of Munich, Germany. [Downloadable!]
  5. Monica Billio & Mila Getmansky & Loriana Pelizzon, 2007. "Dynamic Risk Exposure in Hedge Funds," Working Papers 2007_17, University of Venice "Ca' Foscari", Department of Economics. [Downloadable!]
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