Hedge fund leverage
Hedge fund leverage
Rate this book:
About This Book
"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"--National Bureau of Economic Research web site.
Buy This Book
As an Amazon Associate and Bookshop.org affiliate, BookOrb earns from qualifying purchases.
Write a Review
Sign in to write a review.
More by Andrew Ang
A no-arbitrage vector autoregr
A no-arbitrage vector autoregression of term structure dynamics with macroeconomic and latent variables
Build America bonds
Build America bonds
CAPM over the long run
CAPM over the long run
Do demographic changes affect
Do demographic changes affect risk premiums?
Do funds-of-funds deserve thei
Do funds-of-funds deserve their fees-on-fees?
Do macro variables, asset mark
Do macro variables, asset markets, or surveys forecast inflation better?