Prime Broker-Level Comovement in Hedge Fund Returns: Information or Contagion?
Prime Broker-Level Comovement in Hedge Fund Returns: Information or Contagion?
复制标题
对冲基金回报的大宗经纪商层面的联动：信息还是传染？
DOI：
10.2139/ssrn.2396522
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发表时间：
2016
期刊：
影响因子：
--
通讯作者：
Byoung Uk Kang
中科院分区：
文献类型：
--
作者：
Ji;Byoung Uk Kang
我们记录了共享同一个主要经纪商的对冲基金回报的强烈共同性。这种联动既不是由同一家族的资金驱动的，也不是以同一风格驱动的，它与整个市场和局部联动不同。共同信息假说将这一现象归因于主要经纪人向其对冲基金客户提供有价值的信息。主要经纪商层面的传染假说将这种联动归因于主要经纪商将资金流动性冲击传播给其对冲基金客户。我们发现了强有力的证据支持共同信息假说，但有限的证据支持主要经纪人层面的传染假说。
We document strong comovement in the returns of hedge funds sharing the same prime broker. This comovement is driven neither by funds in the same family nor in the same style, and it is distinct from market-wide and local comovement. The common information hypothesis attributes this phenomenon to the prime broker providing valuable information to its hedge fund clients. The prime broker-level contagion hypothesis attributes the comovement to the prime broker spreading funding liquidity shocks across its hedge fund clients. We find strong evidence supporting the common information hypothesis, but limited evidence in favor of the prime broker-level contagion hypothesis.
恢复对冲基金退市收益
影响因子：
3.9
作者：
Hodder;Jackwerth;Kolokolova
通讯作者：
Kolokolova