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Return
Hedge fund leverage
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DOI：10.1016/j.jfineco.2011.02.020.png)
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Abstract
En 中文
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. (C) 2011 Elsevier B.V. All rights reserved.
Keywords:
Capital structure
Long-short positions
Alternative investments
Exposure
Hedging
Systemic risk
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