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International Finance

Volumn 4, Issue 2, 2001, Pages 161-187

Hedge funds and financial stability: An analysis of their factor exposures

(2) Brealey, R A a Kaplanis, E a

a LONDON BUSINESS SCHOOL (United Kingdom)

Author keywords

[No Author keywords available]

Indexed keywords

COMMODITY MARKET; FINANCIAL CRISIS; MARKET CONDITIONS;

EID: 0035212744 PISSN: 13670271 EISSN: None Source Type: Journal
DOI: 10.1111/1468-2362.00070 Document Type: Article

Times cited : (23)

References (16)

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2
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- working paper, Stanford University
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- Ang, A.¹ Bekaert, G.²

3
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- unpublished paper, AQR Capital Management, January
- (2001) Do Hedge Funds Hedge?
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4
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- Techniques for testing the constancy of regression relationships over time
- Series B
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5
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- Hedge funds and the Asian currency crisis
- February
- (1998) NBER Working Paper No. 6427
- Brown, S.J.¹ Goetzmann, W.N.² Park, J.³

6
- 0031515592
- Testing and locating variance change points with application to stock prices
- (1997) Journal of the American Statistical Association , vol.92 , pp. 739-747
- Chen, J.¹ Gupta, A.K.²

7
- 33749638253
- Risk measurement when shares are subject to infrequent trading
- (1979) Journal of Financial Economics , vol.7 , pp. 197-226
- Dimson, E.¹

8
- 0003756684
- International Monetary Fund, Occasional Paper No. 166, Washington, DC
- (1998) Hedge Funds and Financial Market Dynamics
- Eichengreen, B.¹

9
- 0031519866
- Empirical characteristics of dynamic trading strategies: The case of hedge funds
- (1997) The Review of Financial Studies , vol.10 , pp. 275-302
- Fung, W.¹ Hsieh, D.A.²

10
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- Measuring the market impact of hedge funds
- May
- (2000) Journal of Empirical Finance , vol.7 , pp. 1-36
- Fung, W.¹ Hsieh, D.A.²

11
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- The risk in hedge fund strategies: Theory and evidence from trend followers
- January
- (2001) Review of Financial Studies , vol.14 , pp. 313-341
- Fung, W.¹ Hsieh, D.A.²

12
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- Hedge funds: The living and the dead
- September
- (2000) Journal of Financial and Quantitative Analysis , vol.35 , pp. 309-326
- Liang, B.¹

13
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- Characteristics of risk and return in risk arbitrage
- forthcoming
- (2001) Journal of Finance
- Mitchell, M.¹ Pulvino, T.²

14
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- working paper, Graduate School of Business, University of Chicago
- (2000) The Equity Premium and Statistical Breaks
- Pastor, L.¹ Stambaugh, R.F.²

15
- 0004103584
- President's Working Group on Financial Markets, Washington, DC, 28 April
- (1999) Hedge Funds, Leverage and the Lessons of Long-Term Capital Management

16
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- Asset allocation, management style and performance measurement
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