Measuring the market impact of hedge funds

Journal of Empirical Finance

Volumn 7, Issue 1, 2000, Pages 1-36

  Fung, William ^a   Hsieh, David A ^b  

^a Paradigm Financial Products International   (United States)

^b DUKE UNIVERSITY   (United States)

Author keywords

Feedback trading strategies; G10; G15; G18; Hedge funds; Leverage; Market impact

Indexed keywords

EID: 0006962367     PISSN: 09275398     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0927-5398(00)00005-0     Document Type: Article

References (16)

1. Central Bank Survey of Foreign Exchange and Derivative Market Activity 1995. 1996;Bank for International Settlements, Basle.
2. Billingsley R., Chance D. Benefits and limitations of diversification among commodity trading advisors. Journal of Portfolio Management. 23:1996;65-80.
3. Brown S., Goetzmann W., Park J. Hedge funds and the Asian Currency Crisis of 1997. Journal of Portfolio Management. 1998;. in preparation.
4. Brown S., Goetzmann W., Ibbotson R. Offshore hedge funds: survival and performance, 1989-1995. Journal of Business. 72:1999;91-117.
5. Eichengreen B., Mathieson D., Chadha B., Jansen A., Kodres L., Sharma S. Hedge Fund and Financial Market Dynamics. 1998;International Monetary Fund, Washington, DC.
6. Frankel J.A., Schmukler S.L. Country fund discounts and the Mexican crisis of 1994: did local residents turn pessimistic before international investors. Open Economies Review. 7:1996;511-534. Suppl.
7. Fung W., Hsieh D.A. Empirical characteristics of dynamic trading strategies: the case of hedge funds. Review of Financial Studies. 10:1997;275-302.
8. Fung W., Hsieh D.A. Survivorship bias and investment style in the returns of CTAs. Journal of Portfolio Management. 23:1997;30-41.
9. Fung W., Hsieh D.A. A primer on hedge funds. Journal of Empirical Finance. 6:1999;309-331.
10. International capital markets: Part I. Exchange rate management and international capital flows. World Economic and Financial Surveys. 1993;International Monetary Fund, Washington, DC.
11. International capital markets: Part II. Systemic issues in international finance. World Economic and Financial Surveys. 1993;International Monetary Fund, Washington, DC.
12. International capital markets: developments, prospects, and policy issues. World Economic and Financial Surveys. 1995;International Monetary Fund, Washington.
13. International capital markets: developments, prospects, and key policy issues. World Economic and Financial Surveys. 1998;International Monetary Fund, Washington, DC.
14. Levich R. International Financial Markets: Prices and Policies. 1998;Irwin, McGraw-Hill, Boston.
15. The Presidential Task Force on Market Mechanisms, 1988. Report. The Presidential Task Force on Market Mechanisms, Washington, DC.
16. Hedge Funds, Leverage, and the Lessons of Long-Term Capital Management. 1999;The President's Working Group on Financial Markets, Washington, DC.