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Prime Broker-Level Comovement in Hedge Fund Returns: Information or Contagion?
16 references·6 citing·44 second hopsampled
Prime Broker-Level Comovement in Hedge Fund Returns: Information or Contagion? (2016)Prime Broker-Level Comovement in Hedge Fu…Liquidity risk and the cross-section of hedge-fund returns☆ (2010)Liquidity risk and the cross-…Hedge Fund Contagion and Liquidity Shocks (2010)Hedge Fund Contagion and Liqu…Correcting for Cross-Sectional and Time-Series Dependence in Accounting Research (2010)Correcting for Cross-Sectiona…Robust performance hypothesis testing with the Sharpe ratio (2008)Robust performance hypothesis…Estimating Standard Errors in Finance Panel Data Sets: Comparing Approaches (2008)Estimating Standard Errors in…Does Corporate Headquarters Location Matter for Stock Returns? (2006)Does Corporate Headquarters L…Thy Neighbor's Portfolio: Word‐of‐Mouth Effects in the Holdings and Trades of Money Managers (2005)Thy Neighbor's Portfolio: Wor…The Role of IPO Underwriting Syndicates: Pricing, Information Production, and Underwriter Competition (2005)The Role of IPO Underwriting …Hedge Fund Benchmarks: A Risk-Based Approach (2004)Hedge Fund Benchmarks: A Risk…Performance Hypothesis Testing with the Sharpe Ratio (2003)Performance Hypothesis Testin…The Geography of Investment: Informed Trading and Asset Prices (2001)The Geography of Investment: …Risk Management for Hedge Funds: Introduction and Overview (2001)Risk Management for Hedge Fun…Home Bias at Home: Local Equity Preference in Domestic Portfolios (1999)Home Bias at Home: Local Equi…Performance Hypothesis Testing with the Sharpe and Treynor Measures (1981)Performance Hypothesis Testin…Risk, Return, and Equilibrium: Empirical Tests (1973)Risk, Return, and Equilibrium…Portfolio Performance Manipulation and Manipulation-proof Performance MeasuresPortfolio Performance Manipul…Institutional Brokerage Networks: Facilitating Liquidity Provision (2024)Institutional Brokerage Netwo…The life of the counterparty: Shock propagation in hedge fund-prime broker credit networks (2022)The life of the counterparty:…The value of intermediation in the stock market (2021)The value of intermediation i…Margin Trading and Comovement During Crises (2019)Margin Trading and Comovement…Brokers and Order Flow Leakage: Evidence from Fire Sales (2017)Brokers and Order Flow Leakag…Home Bias and Local Contagion: Evidence from Funds of Hedge Funds (2013)Home Bias and Local Contagion…The Cross-Section of Expected Stock Returns (1992)Common risk factors in the returns on stocks and bonds (1993)On Persistence in Mutual Fund Performance (1997)Does function follow organizational form? 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(2007)A Generalized Approach to Portfolio Optimization: Improving Performance by Constraining Portfolio Norms (2009)Investor Sentiment Aligned: A Powerful Predictor of Stock Returns (2014)Empirical Characteristics of Dynamic Trading Strategies: The Case of Hedge Funds (1997)Risks and Portfolio Decisions Involving Hedge Funds (2003)Hedge Funds: Performance, Risk, and Capital Formation (2008)Role of Managerial Incentives and Discretion in Hedge Fund Performance (2009)Climate Change Concerns and the Performance of Green Versus Brown Stocks (2020)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Behavior of Stock-Market Prices (1965)THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.] (1975)Increasing Returns and Economic Geography (1990)Investor Psychology and Asset Pricing (2001)Information and the Cost of Capital (2004)Social Capital, Trust, and Firm Performance: The Value of Corporate Social Responsibility during the Financial Crisis (2016)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Investor Psychology and Security Market Under‐ and Overreactions (1998)Is All That Talk Just Noise? The Information Content of Internet Stock Message Boards (2004)The Geography of Equity Analysis (2005)The Small World of Investing: Board Connections and Mutual Fund Returns (2008)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Econometric Analysis of Cross Section and Panel Data (2001)Cash Flow Patterns as a Proxy for Firm Life Cycle (2011)Robust Inference With Multiway Clustering (2011)Nonfinancial Disclosure and Analyst Forecast Accuracy: International Evidence on Corporate Social Responsibility Disclosure (2012)Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation (1991)The Econometrics of Financial Markets (1997)The Econometrics of Financial Markets (2012)Deep Direct Reinforcement Learning for Financial Signal Representation and Trading (2016)Deep learning-based feature engineering for stock price movement prediction (2018)Specification Tests in Econometrics (1978)Robust Standard Errors for Panel Regressions with Cross-Sectional Dependence (2007)Policy Uncertainty and Corporate Investment (2015)Religious beliefs, gambling attitudes, and financial market outcomes (2011)Credit supply and corporate innovation (2013)Does Corporate Social Responsibility (CSR) Improve Credit Ratings? Evidence from Geographic Identification (2013)
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References

  • 1973Risk, Return, and Equilibrium: Empirical Tests14,248 cited
  • 2008Estimating Standard Errors in Finance Panel Data Sets: Comparing Approaches10,793 cited
  • 1999Home Bias at Home: Local Equity Preference in Domestic Portfolios2,898 cited
  • 2001The Geography of Investment: Informed Trading and Asset Prices2,004 cited
  • 2010Correcting for Cross-Sectional and Time-Series Dependence in Accounting Research1,358 cited
  • 2004Hedge Fund Benchmarks: A Risk-Based Approach1,029 cited
  • 2008Robust performance hypothesis testing with the Sharpe ratio959 cited
  • 2005Thy Neighbor's Portfolio: Word‐of‐Mouth Effects in the Holdings and Trades of Money Managers934 cited
  • 1981Performance Hypothesis Testing with the Sharpe and Treynor Measures860 cited
  • 2006Does Corporate Headquarters Location Matter for Stock Returns?830 cited
  • n.d.Portfolio Performance Manipulation and Manipulation-proof Performance Measures644 cited
  • 2010Hedge Fund Contagion and Liquidity Shocks471 cited
  • 2010Liquidity risk and the cross-section of hedge-fund returns☆421 cited
  • 2005The Role of IPO Underwriting Syndicates: Pricing, Information Production, and Underwriter Competition413 cited
  • 2001Risk Management for Hedge Funds: Introduction and Overview

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379 cited
  • 2003Performance Hypothesis Testing with the Sharpe Ratio358 cited
  • Cited by

    • 2021The value of intermediation in the stock market41 cited
    • 2013Home Bias and Local Contagion: Evidence from Funds of Hedge Funds32 cited
    • 2022The life of the counterparty: Shock propagation in hedge fund-prime broker credit networks28 cited
    • 2019Margin Trading and Comovement During Crises21 cited
    • 2017Brokers and Order Flow Leakage: Evidence from Fire Sales18 cited
    • 2024Institutional Brokerage Networks: Facilitating Liquidity Provision15 cited