Hedge fund stock trading in the financial crisis of 2007-2009

Review of Financial Studies

Volumn 25, Issue 1, 2012, Pages 1-54

  Ben David, Itzhak ^a   Franzoni, Francesco ^b   Moussawi, Rabih ^c  

^a OHIO STATE UNIVERSITY   (United States)

^b UNIVERSITY OF LUGANO   (Switzerland)

^c UNIVERSITY OF PENNSYLVANIA   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 84055190413     PISSN: 08939454     EISSN: 14657368     Source Type: Journal    
DOI: 10.1093/rfs/hhr114     Document Type: Article

References (62)

1. Agarwal, V., N. Daniel, and N. Y. Naik. 2004. Flows, Performance, and Managerial Incentives in Hedge Funds. Working Paper, Georgia State University and London Business School.
2. 2009. Role of Managerial Incentives and Discretion in Hedge Fund Performance. Journal of Finance 64:2221-56.
3. Agarwal, V., V. Fos, and W. Jiang. 2010. Inferring Reporting Biases in Hedge Fund Databases from Hedge Fund Equity Holdings. Working Paper, Columbia University.
4. Agarwal, V., and N. J. Naik. 2004. Risk and Portfolio Decisions Involving Hedge Funds. Review of Financial Studies 17:63-98. (Pubitemid 38169998)
5. Amihud, Y. 2002. Illiquidity and Stock Returns: Cross-section and Time-series Effects. Journal of Financial Markets 5:31-56. (Pubitemid 39659506)
6. Anand, A., P. Irvine, A. Puckett, and K. Venkataraman. 2010. Market Crashes and Institutional Trading.Working Paper, Syracuse University.
7. Ang, A., S. Gorovyy, and G. B. van Inwegen. 2010. Hedge Fund Leverage.Working Paper, Columbia University.
8. Aragon, G. O., and P. Strahan. Forthcoming 2011. Hedge Funds as Liquidity Providers: Evidence from the Lehman Bankruptcy. Journal of Financial Economics.
9. Baele, L., G. Bekaert, and K. Inghelbrecht. 2010. The Determinants of Stock and Bond Return Comovements. Review of Financial Studies 23:2374-428.
10. Baquero, G., and M. Verbeek. 2009. A Portrait of Hedge Fund Investors: Flows, Performance, and Smart Money. Working Paper, ESMT European School of Management and Technology and Erasmus University.
11. Billio, M., M. Getmansky, and L. Pelizzon. 2010. Crisis and Hedge Fund Risk. Working Paper, University of Venice.
12. Billio, M., M. Getmansky, A. W. Lo, and L. Pelizzon. 2010. Econometric Measures of Systemic Risk in the Finance and Insurance Sectors. Working Paper, Massachusetts Institute of Technology.
13. Boehmer, E., and C. M. Jones. 2008. Which Shorts Are Informed? Journal of Finance 63:491-527.
14. Boyson, N. M., J. Helwege, and J. Jindra. 2010. Crises, Liquidity Shocks, and Fire Sales at Financial Institutions. Working Paper, Northeastern University.
15. Boyson, N. M., C. W. Stahel, and R. M. Stulz. 2010. Hedge Fund Contagion and Liquidity. Journal of Finance 65:1789-816.
16. Brown, D. B., B. I. Carlin, and M. S. Lobo. 2010. Optimal Portfolio Liquidation with Distress Risk. Management Science 56:1997-2014.
17. Brown, G. W., J. Green, and J. R. M. Hand. 2010. Are Hedge Funds Systemically Important? Working Paper, University of North Carolina at Chapel Hill.
18. Brunnermeier, M. K., and S. Nagel. 2004. Hedge Funds and the Technology Bubble. Journal of Finance 59:2013-40. (Pubitemid 39392606)
19. Brunnermeier, M. K., and L. H. Pedersen. 2009. Market Liquidity and Funding Liquidity. Review of Financial Studies 22:2201-38.
20. Calvet, L. E., J. Y. Campbell, and P. Sodini. 2009. Fight or Flight? Portfolio Rebalancing by Individual Investors. Quarterly Journal of Economics 124:301-48.
21. Campbell, J. Y., T. Ramadorai, and A. Schwartz. 2009. Caught on Tape: Institutional Trading, Stock Returns, and Earnings Announcements. Journal of Financial Economics 92:66-91.
22. Cao, C., Y. Chen, B. Liang, and A. W. Lo. 2009. Can Hedge Funds Time Market Liquidity? Working Paper, Pennsylvania State University.
23. Cella, C., A. Ellul, and M. Giannetti. 2011. Investors' Horizons and the Amplification of Market Shocks. Working Paper, Stockholm School of Economics and Indiana University.
24. Chevalier, J., and G. Ellison. 1997. Risk-taking by Mutual Funds as a Response to Incentives, Journal of Political Economy 105:1167-200. (Pubitemid 127632316)
25. Chordia, T., A. Sarkar, and A. Subrahmanyam. 2005. An Empirical Analysis of Stock and Bond Market Liquidity. Review of Financial Studies 18:85-129. (Pubitemid 40140326)
26. Coval, J., and E. Stafford. 2007. Asset Fire Sales (and Purchases) in Equity Markets. Journal of Financial Economics 86:479-512.
27. Ding, B., M. Getmansky, B. Liang, and R. Wermers. 2009. Share Restrictions and Investor Flows in the Hedge Fund Industry. Working Paper, State University of New York at Albany.
28. Fama, E. F., and K. R. French. 1992. The Cross-section of Expected Stock Returns. Journal of Finance 47:427-65.
29. 1993. Common Risk Factors in the Returns on Stocks and Bonds. Journal of Financial Economics 33:3-56.
30. Fung, W., and D. A. Hsieh. 1997. Empirical Characteristics of Dynamic Trading Strategies: The Case of Hedge Funds. Review of Financial Studies 10:275-302.
31. 2004. Hedge Fund Benchmarks: A Risk-based Approach. Financial Analyst Journal 60:65-80.
32. Getmansky, M., A. W. Lo, and I. Makarov. 2004. An Econometric Model of Serial Correlation and Illiquidity in Hedge Fund Returns. Journal of Financial Economics 74:529-610.
33. Goetzmann, W. N., J. E. Ingersoll, and S. A. Ross. 2003. High-water Marks and Hedge Fund Management Contracts. Journal of Finance 58:1685-718.
34. Goldman Sachs. 2010. Hedge Fund Monitor. 2010Q2 Portfolio Strategy Report.
35. Goyenko, R. 2006. Stock and Bond Pricing with Liquidity Risk. Working Paper, McGill University.
36. Goyenko, R., and A. Ukhov. 2009. Stock and Bond Market Liquidity: A Long-run Empirical Analysis. Journal of Financial and Quantitative Analysis 44:189-212.
37. Griffin, J., and J. Xu. 2009. How Smart Are the Smart Guys? Unique View from Hedge Fund Stock Holdings. Review of Financial Studies 22:2531-70.
38. Gromb, D., and D. Vayanos. 2002. Equilibrium and Welfare in Markets with Financially Constrained Arbitrageurs. Journal of Financial Economics 66:361-407.
39. 2010. Limits of Arbitrage: The State of the Theory. Annual Review of Financial Economics 2:251-75.
40. Hau, H., and S. Lai. 2011. The Role of Equity Funds in the Financial Crisis Propagation. Working Paper, INSEAD.
41. He, Z., I. G. Khang, and A. Krishnamurthy. 2010. Balance Sheet Adjustments in the 2008 Crisis.Working Paper, University of Chicago.
42. Hombert, J., and D. Thesmar. 2009. Limits of Limits of Arbitrage: Theory and Evidence. Working Paper, HEC.
43. Jegadeesh, N., and S. Titman. 1993. Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency. Journal of Finance 48:65-91.
44. Jotikasthira, C., C. Lundblad, and T. Ramadorai. 2009. Asset Fire Sales and Purchases and the International Transmission of Financial Shocks. Working Paper, Said Business School.
45. Khandani, A. E., and A. W. Lo. 2011. What Happened to the Quants in August 2007? Evidence from Factors and Transactions Data. Journal of Financial Markets 14:1-46.
46. Lamont, O. A., and J. C. Stein. 2004. Aggregate Short Interest and Market Valuations. American Economic Review 94:29-32. (Pubitemid 39057061)
47. Li, H., X. Zhang, and R. Zhao. 2011. Investing in Talents: Manager Characteristics and Hedge Fund Performances. Journal of Financial and Quantitative Analysis 46:59-82.
48. Lemke, T. P., and G. T. Lins. 1987. Disclosure of Equity Holdings by Institutional Investment Managers: An Analysis of Section 13(f) of the Securities Exchange Act of 1934. Business Lawyer 43:93-119.
49. Manconi, A., M. Massa, and A. Yasuda. 2010. The Behavior of Intoxicated Investors: The Role of Institutional Investors in Propagating the Crisis of 2007-2008. Working Paper, University of California at Davis.
50. Metrick, A., and G. B. Gorton. 2010. Haircuts. Working Paper, Yale University.
51. Mitchell, M., L. Pedersen, and T. Pulvino. 2007. Slow-moving Capital. American Economic Review P&P 97:215-20.
52. Mitchell, M., and T. Pulvino. 2011. Arbitrage Crashes and the Speed of Capital. Working Paper, CNH Partners.
53. Nagel, S. 2011. Evaporating Liquidity. Working Paper, Stanford University.
54. Sadka, R. 2010. Liquidity Risk and the Cross-section of Hedge-fund Returns. Journal of Financial Economics 98:54-71.
55. Scholes, M. 2000. Crisis and Risk Management. American Economic Review 90:17-21.
56. Shleifer, A., and R. W. Vishny. 1997. The Limits of Arbitrage. Journal of Finance 52:35-55. (Pubitemid 127343962)
57. Sias, R., L. Starks, and S. Titman. 2006. Changes in Institutional Ownership and Stock Returns: Assessment and Methodology. Journal of Business 79:2869-910.
58. Sirri, E. R., and P. Tufano. 1998. Costly Search and Mutual Fund Flows. Journal of Finance 53:1589-622.
59. Teo, M. 2011. The Liquidity Risk of Liquid Hedge Funds. Journal of Financial Economics 100:24-44.
60. Vayanos, D. 2004. Flight to Quality, Flight to Liquidity, and the Pricing of Risk.Working Paper, London School of Economics.
61. Wermers, R. 2000. Mutual Fund Performance: An Empirical Decomposition into Stock-picking Talent, Style, Transactions Costs, and Expenses. Journal of Finance 55:1655-95.
62. 2010. Money Fund Runs. Working Paper, University of Maryland.