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Author:Ang, A.
Gorovyy, S.
Inwegen, G.B. Van
Title:Hedge fund leverage
Journal:Journal of Financial Economics
2011 : OCT, VOL 102:1 p.102-126
Index terms:hedging
risk
alternative investment
volatility
Freeterms:exposure
capital structure
long-short positions
systemic risk
Language:eng
Abstract:Here, the leverage of hedge funds is investigated in the time series and cross-section. Hedge fund leverage is counter-cyclical to the leverage of listed financial intermediaries, decreasing before the start of the financial crisis in mid-2007. It is lowest in early 2009 when the market leverage of investment banks is highest. Changes in hedge fund leverage can generally be predicted more accurately by economy-wide factors than by fund-specific characteristics. Particularly, decreases in funding costs and increases in market values both predict increases in hedge fund leverage. Decreases in fund return volatilities forecast future leverage increases.
SCIMA record nr: 275068
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