The DOI matches its Crossref record; 3 of the 3 references it cites were found in a registry or an index.
Hedge Fund Contagion and Liquidity Shocks
Open accessAbstract
Defining contagion as correlation over and above that expected from economic fundamentals, we find strong evidence of worst return contagion across hedge fund styles for 1990 to 2008. Large adverse shocks to asset and hedge fund liquidity strongly increase the probability of contagion. Specifically, large adverse shocks to credit spreads, the TED spread, prime broker and bank stock prices, stock market liquidity, and hedge fund flows are associated with a significant increase in the probability of hedge fund contagion. While shocks to liquidity are important determinants of performance, these shocks are not captured by commonly used models of hedge fund returns.
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(1990) · Choice Reviews Online · doi:10.5860/choice.27-3338 · Cited by 35,305
Common risk factors in the returns on stocks and bonds
Fama, E. F., & French, K. R. (1993) · Journal of Financial Economics · doi:10.1016/0304-405x(93)90023-5 · Cited by 25,754
A note on a general definition of the coefficient of determination
NAGELKERKE, N. J. D. (1991) · Biometrika · doi:10.1093/biomet/78.3.691 · Cited by 5,927
Cited by
A Survey of Systemic Risk Analytics
Bisias, D., Flood, M., Lo, A. W., & Valavanis, S. (2012) · Annual Review of Financial Economics · doi:10.1146/annurev-financial-110311-101754 · Cited by 659
A Survey of Systemic Risk Analytics
Bisias, D., Flood, M. D., Lo, A. W., & Valavanis, S. (2012) · SSRN Electronic Journal · doi:10.2139/ssrn.1983602 · Cited by 331
Metadata
- Authors
- BOYSON, N. M., STAHEL, C. W., & STULZ, R. M.
- Venue
- The Journal of Finance
- Publisher
- Wiley
- Published
- 2010-09-21
- Volume
- 65
- Issue
- 5
- Pages
- 1789-1816
- ISSN
- 0022-1082 (ISSN-L)
- 1540-6261
- OpenAlex
- W2121063391
- Cited by
- 469
- References
- 3
- FWCI
- 64.72
- Type
- journal article
- Language
- en
- Open access
- green
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