Review of Derivatives Research

, Volume 14, Issue 2, pp 117–135

The financial crisis and hedge fund returns

Authors

    • Owen Graduate School of ManagementVanderbilt University
Article

DOI: 10.1007/s11147-011-9064-7

Cite this article as:
Bollen, N.P.B. Rev Deriv Res (2011) 14: 117. doi:10.1007/s11147-011-9064-7

Abstract

The financial crisis has focused the lens of politicians and regulators on hedge funds as a source of systemic and operational risk in asset markets. We examine the extent to which available data can provide useful information regarding the impact of hedge funds on the financial system. Using data from January 1994 through September 2008, we find dramatic changes in the exposures of hedge funds to risk factors, accompanied by a significant and widespread increase in correlation between hedge fund and factor returns. Lastly, the discontinuity at zero in the cross-sectional distribution of hedge fund returns persists throughout the sample.

Keywords

Hedge fundsFinancial crisisSystemic risk

JEL Classification

G01G23
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Copyright information

© Springer Science+Business Media, LLC 2011