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Estimating Hedge Fund Leverage
16 references·3 citing·42 second hopsampled
Estimating Hedge Fund Leverage (2009)Estimating Hedge Fund LeverageGlobal Financial Stability Report, April 2018: A Bumpy Road Ahead (2018)Global Financial Stability Re…Hedge Funds, Financial Intermediation, and Systemic Risk (2007)Hedge Funds, Financial Interm…SIFTING THROUGH THE WRECKAGE: LESSONS FROM RECENT HEDGE-FUND LIQUIDATIONS (2005)SIFTING THROUGH THE WRECKAGE:…Hedge Funds and Their Implications for Financial Stability (2005)Hedge Funds and Their Implica…Do hedge funds have enough capital? A value-at-risk approach (2005)Do hedge funds have enough ca…Hedge Funds and the Technology Bubble (2004)Hedge Funds and the Technolog…An econometric model of serial correlation and illiquidity in hedge fund returns (2004)An econometric model of seria…Risks and Portfolio Decisions Involving Hedge Funds (2003)Risks and Portfolio Decisions…Flows, Performance, and Managerial Incentives in Hedge Funds (2003)Flows, Performance, and Manag…A Critical Look at the Case for Hedge Funds (2003)A Critical Look at the Case f…Hedge-Fund Benchmarks: Information Content and Biases (2002)Hedge-Fund Benchmarks: Inform…Asset-Based Style Factors for Hedge Funds (2002)Asset-Based Style Factors for…The Risk in Hedge Fund Strategies: Theory and Evidence from Trend Followers (2001)The Risk in Hedge Fund Strate…Performance Characteristics of Hedge Funds and Commodity Funds: Natural vs. Spurious Biases (2000)Performance Characteristics o…Hedge Funds and the Asian Currency Crisis of 1997 (1998)Hedge Funds and the Asian Cur…Common risk factors in the returns on stocks and bonds (1993)Common risk factors in the re…Commonality in hedge fund returns: Driving factors and implications (2014)Commonality in hedge fund ret…The (Other) Deleveraging (2012)The (Other) DeleveragingHedge Fund Leverage (2010)Hedge Fund LeverageRisk, Return, and Equilibrium: Empirical Tests (1973)The Pricing of Options and Corporate Liabilities (1973)Separation of Ownership and Control (1983)Systemic Risk and Hedge Funds (2007)Strategic Asset Allocation in Money Management (2013)Mean field and n‐agent games for optimal investment under relative performance criteria (2019)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Cross-Section of Expected Stock Returns (1992)On Persistence in Mutual Fund Performance (1997)Illiquidity and stock returns: cross-section and time-series effects (2002)A five-factor asset pricing model (2014)Mutual Fund Performance: An Analysis of Quarterly Portfolio Holdings (1989)Returns from Investing in Equity Mutual Funds 1971 to 1991 (1995)Empirical Characteristics of Dynamic Trading Strategies: The Case of Hedge Funds (1997)Risk Measures for Hedge Funds: a Cross‐sectional Approach (2007)Investing in Talents: Manager Characteristics and Hedge Fund Performances (2010)Inferring Reporting-Related Biases in Hedge Fund Databases from Hedge Fund Equity Holdings (2013)The Performance of Mutual Funds in the Period 1945-1964 (1968)THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–1964 (1968)The Strategic and Tactical Value of Commodity Futures (2006)The Behavior of Stock-Market Prices (1965)Noise Trader Risk in Financial Markets (1990)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)The Market for News (2005)EXPLOSIVE BEHAVIOR IN THE 1990s NASDAQ: WHEN DID EXUBERANCE ESCALATE ASSET VALUES?* (2009)The fundamental principles of financial regulation (2009)Techniques for Verifying the Accuracy of Risk Measurement Models (1995)Value At Risk: The New Benchmark for Managing Financial Risk (2000)Dynamic risk exposures in hedge funds (2010)Risk and Return in Convertible Arbitrage: Evidence from the Convertible Bond Market (2015)Machine Learning Solutions to Challenges in Finance: An Application to the Pricing of Financial Products (2019)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)A Survey of Systemic Risk Analytics (2012)Characteristics of Risk and Return in Risk Arbitrage (2001)Hedge Funds: Performance, Risk, and Capital Formation (2008)Role of Managerial Incentives and Discretion in Hedge Fund Performance (2009)Hedge Fund Benchmarks: A Risk-Based Approach (2004)Systemic Risk and Hedge Funds (2005)Econometric Measures of Systemic Risk in the Finance and Insurance Sectors (2010)Going, Going, Gone? The Apparent Demise of the Accruals Anomaly (2011)
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References

  • 1993Common risk factors in the returns on stocks and bonds26,615 cited
  • 2003Risks and Portfolio Decisions Involving Hedge Funds1,213 cited
  • 2001The Risk in Hedge Fund Strategies: Theory and Evidence from Trend Followers1,198 cited
  • 2004Hedge Funds and the Technology Bubble1,104 cited
  • 2004An econometric model of serial correlation and illiquidity in hedge fund returns1,000 cited
  • 2000Performance Characteristics of Hedge Funds and Commodity Funds: Natural vs. Spurious Biases796 cited
  • 2002Asset-Based Style Factors for Hedge Funds283 cited
  • 2002Hedge-Fund Benchmarks: Information Content and Biases212 cited
  • 2003Flows, Performance, and Managerial Incentives in Hedge Funds144 cited
  • 2005Do hedge funds have enough capital? A value-at-risk approach133 cited
  • 1998Hedge Funds and the Asian Currency Crisis of 1997115 cited
  • 2005SIFTING THROUGH THE WRECKAGE: LESSONS FROM RECENT HEDGE-FUND LIQUIDATIONS109 cited
  • 2005Hedge Funds and Their Implications for Financial Stability84 cited
  • 2018Global Financial Stability Report, April 2018: A Bumpy Road Ahead67 cited
  • 2003A Critical Look at the Case for Hedge Funds58 cited

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  • 2007Hedge Funds, Financial Intermediation, and Systemic Risk50 cited
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    • 2010Hedge Fund Leverage36 cited
    • 2012The (Other) Deleveraging28 cited
    • 2014Commonality in hedge fund returns: Driving factors and implications24 cited