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Estimating hedge fund leverage. (2008). Tsatsaronis, Kostas ; McGuire, Patrick.
In: BIS Working Papers.
RePEc:bis:biswps:260.

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Cited: 16

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Cites: 21

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Cocites: 29

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  1. DeFi leverage. (2024). Huang, Wenqian ; Heimbach, Lioba.
    In: BIS Working Papers.
    RePEc:bis:biswps:1171.

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  2. Monitoring systemic risk in the hedge fund sector. (2017). Hespeler, Frank ; Loiacono, Giuseppe .
    In: Quantitative Finance.
    RePEc:taf:quantf:v:17:y:2017:i:12:p:1859-1883.

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  3. Assessing shadow banking – non-bank financial intermediation in Europe. (2016). Weistroffer, Christian ; Killeen, Neill ; Grillet-Aubert, Laurent ; Jackson, Clive ; Haquin, Jean-Baptiste .
    In: ESRB Occasional Paper Series.
    RePEc:srk:srkops:201610.

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  4. Macroeconomic shocks, forward-looking dynamics, and the behavior of hedge funds. (2016). Racicot, François-Éric ; Theoret, Raymond .
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:62:y:2016:i:c:p:41-61.

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  5. Reviewing the hedge funds literature I: Hedge funds and hedge funds managerial characteristics. (2016). Hudson, Robert ; Azevedo, Alcino ; el Kalak, Izidin.
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:48:y:2016:i:c:p:85-97.

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  6. Commonality in hedge fund returns: Driving factors and implications. (2015). Klaus, Benjamin ; Hoerova, Marie ; Bussiere, Matthieu.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:54:y:2015:i:c:p:266-280.

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  7. Leverage on the buy side. (2015). Moreno, Ramon ; Avalos, Fernando ; Romero, Tania .
    In: BIS Working Papers.
    RePEc:bis:biswps:517.

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  8. Commonality in hedge fund returns: driving factors and implications. (2014). Klaus, Benjamin ; Hoerova, Marie ; Bussiere, Matthieu.
    In: Working Paper Series.
    RePEc:ecb:ecbwps:20141658.

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  9. Leverage and Alpha: The Case of Funds of Hedge Funds. (2013). Dewaele, Benoit .
    In: Working Papers CEB.
    RePEc:sol:wpaper:2013/149175.

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  10. The (Other) Deleveraging. (2012). Singh, Manmohan.
    In: IMF Working Papers.
    RePEc:imf:imfwpa:2012/179.

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  11. Hedge fund dynamic market sensitivity. (2012). Tindall, Michael ; chen, jiaqi.
    In: Occasional Papers.
    RePEc:fip:feddop:2012_001.

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  12. Hedge fund dynamic market sensitivity. (2012). Chen, Jiaqi ; Tindall, Michael L..
    In: Occasional Papers.
    RePEc:fip:feddop:1.

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  13. Commonality in hedge fund returns: driving factors and implications. (2012). Klaus, Benjamin ; Hoerova, Marie ; Bussiere, Matthieu.
    In: Working papers.
    RePEc:bfr:banfra:373.

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  14. Velocity of Pledged Collateral; Analysis and Implications. (2011). Singh, Manmohan.
    In: IMF Working Papers.
    RePEc:imf:imfwpa:2011/256.

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  15. Hedge fund leverage. (2011). Ang, Andrew ; Gorovyy, Sergiy ; van Inwegen, Gregory B..
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:102:y:2011:i:1:p:102-126.

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  16. Hedge funds and financial stability: Regulating prime brokers will mitigate systemic risks. (2009). Maier, Philipp ; King, Michael.
    In: Journal of Financial Stability.
    RePEc:eee:finsta:v:5:y:2009:i:3:p:283-297.

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References

References cited by this document

  1. (2001): The risk in hedge fund strategies: theory and evidence from trend followers, The Review of Financial Studies, Summer, vol 14, no 2, pp 313-41.
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  2. (2002a): Asset-based style factors for hedge funds, Financial Analysts Journal, September/October, pp 16-27.
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  4. Adrian, T (2007): Measuring risk in the hedge fund sector, Federal Reserve Bank of New York, Current Issues in Economics and Finance, vol 13, no 3, March/April.

  5. Agarwal, V and N Naik (2004): Risks and portfolio decisions involving hedge funds, The Review of Financial Studies, Spring, vol 1 7, no 1, pp 63-98.

  6. Agarwal, V, N D Daniel and N Naik (2004): Flows, performance and managerial incentives in hedge funds, working paper presented at the Gutmann Center Symposium on Hedge Funds, University of Vienna, 29 November.
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  7. Brown 5, W Goetzmann and J Park (2002): Hedge funds and the Asian currency crisis, The Journal of Portfolio Management, Summer, 6(4), pp 95-1 01.

  8. Brunnermeier, M K and S Nagel (2004): Hedge funds and the technology bubble, The Journal of Finance, vol LIX, no 5, October, pp 201 3-40.

  9. Chan, N, M Getmansky, S Haas and A Lo (2006): Do hedge funds increase systemic risk? Economic Review, Federal Reserve Bank of Atlanta, Fourth Quarter.
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  10. Christiansen, C, P Madsen and M Christensen (2004): A quantative analysis of hedge fund style and performance, Intelligent Hedge Fund Investing, ed. Barry Schachter, Risk Books Committee on the Global Financial System (1999): A review of financial market events in autumn 1998 (The Johnson Report), Bank for International Settlements, http://www.bis.org/publ/cgfsi2.pdf.

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  12. European Central Bank (2005): Large EU banks exposures to hedge funds Fama, E and K French (1993): Common Risk Factors in the Returns on Stocks and Bonds, Journal of Financial Economics, vol 33, no 1, pp 3-56.

  13. Fung, W and D Hsieh (2000): Performance characteristics of hedge funds and CTA funds: natural versus spurious biases, Journal of Financial and Quantitative Analysis, 35, 291-307.

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  15. Getmansky, M, A W Lo, and S X Mei (2004): Sifting through the wreckage: Lessons from recent hedge-fund liquidations, Journal of Investment Management, vol. 2, no. 4, pp. 6-38.
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  16. Gupta, A and B Liang (2005): Do hedge funds have enough capital? A value-at-risk approach, Journal of Financial Economics, vol. 77, pp 219-253.

  17. International Monetary Fund (2004): Global Financial Stability Report, April, pp 146-8.
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  18. Kambhu, J, T Schuermann and K Stiroh (2007): Hedge funds, financial intermediation and systemic risk, Economic Policy Review, Federal Reserve Bank of New York, vol 13, no 3, December.

  19. McGuire F, E Remolona and K Tsatsaronis (2005): Time varying exposures and leverage in hedge funds, BIS Quarterly Review, March Estimating hedge fund leverage McGuire-Tsatsaronis 15 Sharpe, W (1992): Asset allocation: management style and performance measurement, The Journal of Portfolio Management, winter, pp 7-19.

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  21. Teiletche, J and Y Tampereau (2005): Performance of hedge funds and standard assets: A systematic investigation, Corporate and Investment Bank Special Paper No 2005-03.
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Cocites

Documents in RePEc which have cited the same bibliography

  1. .

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  2. Limited attention, managerial multitasking, and hedge fund performance in China. (2021). He, Yuqian ; Wang, Xueding ; Li, Yang.
    In: Pacific-Basin Finance Journal.
    RePEc:eee:pacfin:v:67:y:2021:i:c:s0927538x21000755.

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  3. An Innovative Flexible Investment Vehicle Oriented to Sustainability – The Adaptation of Hedge Funds in the Case of Emerging Markets. (2020). Boscoianu, Mircea ; Prelipcean, Gabriela.
    In: Proceedings of the ENTRENOVA - ENTerprise REsearch InNOVAtion Conference (2020), Virtual Conference.
    RePEc:zbw:entr20:224715.

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  4. Structural holes and hedge fund return comovement: evidence from network‐connected stock hedge funds in China. (2020). Xiao, Tusheng ; Wang, Xueding ; Li, Yang.
    In: Accounting and Finance.
    RePEc:bla:acctfi:v:60:y:2020:i:3:p:2811-2841.

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  5. Monitoring systemic risk in the hedge fund sector. (2017). Hespeler, Frank ; Loiacono, Giuseppe .
    In: Quantitative Finance.
    RePEc:taf:quantf:v:17:y:2017:i:12:p:1859-1883.

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  6. Forecasting Economic Aggregates Using Dynamic Component Grouping. (2017). Cobb, Marcus.
    In: MPRA Paper.
    RePEc:pra:mprapa:81585.

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  7. Hedge funds risk and connectedness. (2017). Manicaro, Christian ; Falzon, Joseph.
    In: Journal of Asset Management.
    RePEc:pal:assmgt:v:18:y:2017:i:4:d:10.1057_s41260-016-0025-4.

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  8. Impending Doom: The Loss of Diversification before a Crisis. (2017). Rea, William ; Yang, Libin ; Binyang, LI.
    In: IJFS.
    RePEc:gam:jijfss:v:5:y:2017:i:4:p:29-:d:118774.

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  9. Financial Innovation and Asset Prices. (2017). Buss, Adrian ; Uppal, Raman.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:12416.

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  10. Macroeconomic shocks, forward-looking dynamics, and the behavior of hedge funds. (2016). Racicot, François-Éric ; Theoret, Raymond .
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:62:y:2016:i:c:p:41-61.

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  11. Gauging Form PF: Data Tolerances in Regulatory Reporting on Hedge Fund Risk Exposures. (2015). Bandyopadhyay, Lina ; Monin, Phillip ; Flood, Mark D.
    In: Working Papers.
    RePEc:ofr:wpaper:15-13.

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  12. Hedge Funds: A Dynamic Industry In Transition. (2015). Lo, Andrew ; Getmansky, Mila ; Lee, Peter A.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:21449.

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  13. Commonality in hedge fund returns: Driving factors and implications. (2015). Klaus, Benjamin ; Hoerova, Marie ; Bussiere, Matthieu.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:54:y:2015:i:c:p:266-280.

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  14. How much diversification potential is there in a single market? Evidence from the Australian Stock Exchange. (2015). Rea, William ; Yang, Libin .
    In: Working Papers in Economics.
    RePEc:cbt:econwp:15/07.

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  15. How much diversification potential is there in a single market? Evidence from the Australian Stock Exchange. (2015). Rea, William ; Yang, Libin .
    In: Papers.
    RePEc:arx:papers:1512.06486.

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  16. CoVaR. (2014). Brunnermeier, Markus ; Adrian, Tobias.
    In: Staff Reports.
    RePEc:fip:fednsr:348.

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  17. Hedge fund systemic risk signals. (2014). Savona, Roberto.
    In: European Journal of Operational Research.
    RePEc:eee:ejores:v:236:y:2014:i:1:p:282-291.

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  18. Commonality in hedge fund returns: driving factors and implications. (2014). Klaus, Benjamin ; Hoerova, Marie ; Bussiere, Matthieu.
    In: Working Paper Series.
    RePEc:ecb:ecbwps:20141658.

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  19. Bank systemic risk and the business cycle: Canadian and U.S. evidence. (2012). Calmès, Christian ; Calmes, Christian ; Theoret, Raymond .
    In: RePAd Working Paper Series.
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  20. Hedge fund dynamic market sensitivity. (2012). Tindall, Michael ; chen, jiaqi.
    In: Occasional Papers.
    RePEc:fip:feddop:2012_001.

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  21. Hedge fund dynamic market sensitivity. (2012). Chen, Jiaqi ; Tindall, Michael L..
    In: Occasional Papers.
    RePEc:fip:feddop:1.

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  22. Commonality in hedge fund returns: driving factors and implications. (2012). Klaus, Benjamin ; Hoerova, Marie ; Bussiere, Matthieu.
    In: Working papers.
    RePEc:bfr:banfra:373.

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  23. Bank systemic risk and the business cycle: An empirical investigation using Canadian data. (2011). Calmès, Christian ; Calmes, Christian ; Theoret, Raymond .
    In: RePAd Working Paper Series.
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  24. Econometric Measures of Systemic Risk in the Finance and Insurance Sectors. (2010). Pelizzon, Loriana ; Lo, Andrew ; Billio, Monica ; Getmansky, Mila.
    In: NBER Working Papers.
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  25. Crises and Hedge Fund Risk. (2009). Pelizzon, Loriana ; Billio, Monica ; Getmansky, Mila.
    In: Yale School of Management Working Papers.
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  26. Crisis and Hedge Fund Risk. (2008). Pelizzon, Loriana ; Billio, Monica ; Getmansky, Mila.
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  27. Changes in Investors Risk Appetite - An Assessment of Financial Integration and Interdependence. (2008). Tam, Chi-sang ; Fung, Laurence ; Yu, Ip-wing .
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  28. Estimating hedge fund leverage. (2008). Tsatsaronis, Kostas ; McGuire, Patrick.
    In: BIS Working Papers.
    RePEc:bis:biswps:260.

    Full description at Econpapers || Download paper

  29. Hedge funds, financial intermediation, and systemic risk. (2007). Stiroh, Kevin ; Schuermann, Til ; Kambhu, John .
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