Hedge fund crowds and mispricing
Recent models and the popular press suggest that large groups of hedge funds follow
similar strategies resulting in crowded equity positions that destabilize markets. Inconsistent …
similar strategies resulting in crowded equity positions that destabilize markets. Inconsistent …
Home bias and local contagion: Evidence from funds of hedge funds
Our paper analyzes the geographical preferences of hedge fund investors and the
implication of these preferences for hedge fund performance. We find that funds of hedge …
implication of these preferences for hedge fund performance. We find that funds of hedge …
The 2008 financial crisis and the dynamics of price discovery among stock prices, CDS spreads, and bond spreads for US financial firms
C Giannikos, H Guirguis, M Suen - Journal of Derivatives, 2013 - search.proquest.com
Proliferation of traded derivatives that relate to the same underlying--such as stocks, bonds,
and credit default swaps (CDS) all tied to the value of an underlying firm--raises questions …
and credit default swaps (CDS) all tied to the value of an underlying firm--raises questions …
Common institutional blockholders and tail risk
We find that the tail risk of a firm's stock returns is positively affected by the tail risk of other
firms held by the same common institutional blockholder (CIB). The CIB peer effect on tail …
firms held by the same common institutional blockholder (CIB). The CIB peer effect on tail …
Ubiquitous comovement
W Grieser, JH Lee, M Zekhnini - Available at SSRN 3385841, 2020 - papers.ssrn.com
A large literature explores whether asset returns comove in excess of what can be explained
by fundamentals, thus suggesting the existence of frictions or behavioral biases. However …
by fundamentals, thus suggesting the existence of frictions or behavioral biases. However …
Quasi-insider shareholder activism: Corporate governance at the periphery of control
J Cohn, M Towner, A Virani - The Review of Corporate Finance …, 2023 - academic.oup.com
We analyze shareholder activism by “quasi-insiders”: founders, former executives, and other
individuals tangentially connected to a firm. These individuals seek control in their …
individuals tangentially connected to a firm. These individuals seek control in their …
Reconsidering Hedge Fund Contagion
A widely held view concerning hedge funds is that they act as a negative disruptive force in
financial markets due to “contagion.” Hedge funds are often viewed as culprits in both the …
financial markets due to “contagion.” Hedge funds are often viewed as culprits in both the …
The contagion versus interdependence controversy between hedge funds and equity markets
TY Kim, HS Lee - European Financial Management, 2018 - Wiley Online Library
This study considers the 'contagion versus interdependence'controversy between hedge
funds and equity markets. We find that contagion effects break down the established …
funds and equity markets. We find that contagion effects break down the established …
[PDF][PDF] The Institutional Footprint: An empirical study of the relationship between institutional ownership and idiosyncratic volatility in Scandinavian stock markets
P Gjelstad-Ditlevsen, NO Magnussen - 2023 - openaccess.nhh.no
This thesis investigates the impact of institutional ownership on idiosyncratic volatility in
Scandinavian stocks. The study applies CAPM regression analysis to estimate idiosyncratic …
Scandinavian stocks. The study applies CAPM regression analysis to estimate idiosyncratic …
[图书][B] Essays on investment and portfolio management of hedge funds
C Zhang - 2019 - core.ac.uk
This thesis is made up of three independent chapters on hedge fund investment and
portfolio management. This thesis aims to shed light on the investment skills of hedge fund …
portfolio management. This thesis aims to shed light on the investment skills of hedge fund …