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‘When There is no Place to Hide’: Correlation Riskand the Cross-Section of Hedge Fund Returns

Buraschi, Andrea; Kosowski, Robert; Trojani, Fabio - Swiss National Centre of Competence in Research North … - 2010

This paper analyzes the relation between correlation risk and the cross-section of hedge fund returns.Legal framework and investment mandate imply that hedge funds can be severely exposed tocorrelation risk: Hedge funds ability to enter long-short positions can be useful to reduce marketbeta,...

Persistent link: https://www.econbiz.de/10009248845

Leverage and beliefs: Personal experience and risk taking in margin lending

Koudijs, Peter; Voth, Hans-Joachim - 2014

What determines risk-bearing capacity and the amount of leverage in financial markets? Using unique archival data on collateralized lending, we show that personal experience can affect individual risk-taking and aggregate leverage. When an investor syndicate speculating in Amsterdam in 1772 went...

Persistent link: https://www.econbiz.de/10011282480

Financialization in commodity markets

Chari, Varadarajan V.; Christiano, Lawrence J. - 2017

growth rate and volatility of commodity spot prices. This view gained credence because in the 2000s trading volume increased …

Persistent link: https://www.econbiz.de/10012030340

Macroeconomic implications of financial imperfections: A survey

Claessens, Stijn; Kose, M. Ayhan - 2017

This paper surveys the theoretical and empirical literature on the macroeconomic implications of financial imperfections. It focuses on two major channels through which financial imperfections can affect macroeconomic outcomes. The first channel, which operates through the demand side of finance...

Persistent link: https://www.econbiz.de/10012060201

Asset Liquidity in Monetary Theory and Finance: A Unified Approach

Geromichalos, Athanasios; Jung, Kuk Mo; Lee, Seungduck; … - 2019

Economists often say that certain types of assets, e.g., Treasury bonds, are very 'liquid'. Do they mean that these assets are likely to serve as media of exchange or collateral (a definition of liquidity often employed in monetary theory), or that they can be easily sold in a secondary market,...

Persistent link: https://www.econbiz.de/10012655877

Momentum trading, return chasing, and predictable crashes

Chabot, Benjamin; Ghysels, Eric; Jagannathan, Ravi - 2014

We combine self-collected historical data from 1867 to 1907 with CRSP data from 1926 to 2012, to examine the risk and return over the past 140 years of one of the most popular mechanical trading strategies - momentum. We find that momentum has earned abnormally high risk-adjusted returns - a...

Persistent link: https://www.econbiz.de/10011460679

Are stock markets really like beauty contests? - Empirical evidence of higher order belief's impact on asset prices

Monnin, Pierre - Institut für Schweizerisches Bankwesen <Zürich>; … - 2004

order belief", on asset price volatility. The paper shows that heterogeneous expectations induce higher order beliefs and … that heterogeneous expectation asset pricing models thoretically generate more volatility than rational expectation models … results shows that a model with higher order beliefs generates a level of volatility in line with the price volatility …

Persistent link: https://www.econbiz.de/10005857785

A tale of four tails: Inflation, the policy rate, longer-term rates, and stock prices

Anene, Dominic; D'Amico, Stefania - 2017

We analyze empirical links between the perceived tail-risk of inflation, the policy rate, longer-term interest rates, and equity prices in the U.S. Their simultaneous changes enable us to distinguish between a systematic and "exogenous" response to monetary-policy news. And, those tail...

Persistent link: https://www.econbiz.de/10012030329

Disclosing the undisclosed: Commercial paper as hidden liquidity suffers

Klingler, Sven; Syrstad, Olav - 2021

Using new transaction-level data for non-financial commercial paper (CP) in the U.S., we show that companies systematically reduce their outstanding short-term debt on quarterly and annual disclosure dates. Constraints on CP lending supply cannot explain this pattern. Instead, companies optimize...

Persistent link: https://www.econbiz.de/10013373826

Crisis liquidity facilities with nonbank counterparties: Lessons from the term Asset-Backed Securities Loan Facility

Meisenzahl, Ralf R.; Pence, Karen M. - 2022

The Term Asset-Backed Securities Loan Facility (TALF), which addressed strains in the asset-backed securities market, was an unusual crisis facility because it provided loans to a wide range of nonbank financial institutions. Using new, detailed loan-level data, we study whether institutional...

Persistent link: https://www.econbiz.de/10013364532