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| Tekijä: | Ang, A. Gorovyy, S. Inwegen, G.B. Van |
| Otsikko: | Hedge fund leverage |
| Lehti: | Journal of Financial Economics
2011 : OCT, VOL 102:1 p.102-126 |
| Asiasana: | hedging risk alternative investment volatility |
| Vapaa asiasana: | exposure capital structure long-short positions systemic risk |
| Kieli: | eng |
| Tiivistelmä: | 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. |
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