IDEAS home Printed from https://ideas.repec.org/a/bla/intfin/v4y2001i2p161-187.html
   My bibliography  Save this article

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

Author

Listed:
  • Richard A. Brealey
  • Evi Kaplanis

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.

Suggested Citation

  • Richard A. Brealey & Evi Kaplanis, 2001. "Hedge Funds and Financial Stability: An Analysis of their Factor Exposures," International Finance, Wiley Blackwell, vol. 4(2), pages 161-187.
    • Handle: RePEc:bla:intfin:v:4:y:2001:i:2:p:161-187
    DOI: 10.1111/1468-2362.00070
    as

    Download full text from publisher

    File URL: https://doi.org/10.1111/1468-2362.00070
    Download Restriction: no
    File URL: https://libkey.io/10.1111/1468-2362.00070?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Gregoriou, Greg N. & Sedzro, Komlan & Zhu, Joe, 2005. "Hedge fund performance appraisal using data envelopment analysis," European Journal of Operational Research, Elsevier, vol. 164(2), pages 555-571, July.
    2. Boyson, Nicole M. & Stahel, Christof W. & Stulz, Rene M., 2006. "Is There Hedge Fund Contagion?," Working Paper Series 2006-1, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
    3. Wong, Wing-Keung & Phoon, Kok Fai & Lean, Hooi Hooi, 2008. "Stochastic dominance analysis of Asian hedge funds," Pacific-Basin Finance Journal, Elsevier, vol. 16(3), pages 204-223, June.
    4. Andreu, Laura & Serrano, Miguel & Vicente, Luis, 2019. "Efficiency of mutual fund managers: A slacks-based manager efficiency index," European Journal of Operational Research, Elsevier, vol. 273(3), pages 1180-1193.
    5. Loriana Pelizzon & Monica Billio & Mila Getmansky, 2008. "Crisis and Hedge Fund Risk," Working Papers 2008_10, Department of Economics, University of Venice "Ca' Foscari".
    6. Billio, Monica & Getmansky, Mila & Pelizzon, Loriana, 2012. "Dynamic risk exposures in hedge funds," Computational Statistics & Data Analysis, Elsevier, vol. 56(11), pages 3517-3532.
    7. Ying Li & Hossein Kazemi, 2007. "Conditional Properties of Hedge Funds: Evidence from Daily Returns," European Financial Management, European Financial Management Association, vol. 13(2), pages 211-238, March.
    8. repec:onb:oenbwp:y:2005:i:9:b:1 is not listed on IDEAS
    9. 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.
    10. W. N. W. Azman-Saini & Evan Lau & Zulkefly Abdul Karim, 2010. "Hedge funds, exchange rates and causality: evidence from Thailand and Malaysia," Applied Economics Letters, Taylor & Francis Journals, vol. 17(4), pages 393-397.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:bla:intfin:v:4:y:2001:i:2:p:161-187. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Wiley Content Delivery (email available below). General contact details of provider: http://www.blackwellpublishing.com/journal.asp?ref=1367-0271 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.