Hedge fund leverage
By: Andrew Ang, Sergiy Gorovyy, Gregory B. van Inwegen
Contributors: Gorovyy, Sergiy; Inwegen, Gregory B. van; National Bureau of Economic Research
Series: NBER working paper series -- working paper 16801; Working paper series (National Bureau of Economic Research : Online) -- working paper no. 16801.
Publisher: National Bureau of Economic Research
Published: 2011
Place of publication: Cambridge, MA
Language: eng
Format: Electronic resource
Description: "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"--National Bureau of Economic Research web site.
Notes: Title from PDF file as viewed on 5/17/2011.

Includes bibliographical references.

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