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Hedge fund leverage

Listed author(s):
  • Ang, Andrew
  • Gorovyy, Sergiy
  • van Inwegen, Gregory B.
Registered author(s):

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.

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File URL: http://www.sciencedirect.com/science/article/pii/S0304405X11001425
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Article provided by Elsevier in its journal Journal of Financial Economics.

Volume (Year): 102 (2011)
Issue (Month): 1 (October)
Pages: 102-126

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Handle: RePEc:eee:jfinec:v:102:y:2011:i:1:p:102-126
Contact details of provider: Web page: http://www.elsevier.com/locate/inca/505576

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