Hedge Fund Leverage

Andrew Ang, Sergiy Gorovyy and Gregory B. van Inwegen

No 16801, NBER Working Papers from National Bureau of Economic Research, Inc

Abstract: We investigate the leverage of hedge funds in the time series and cross section. Hedge fund leverage is counter-cyclical to the leverage of listed financial intermediaries and decreases prior to the start of the financial crisis in mid-2007. Hedge fund leverage is lowest in early 2009 when the market leverage of investment banks is highest. Changes in hedge fund leverage tend to be more predictable by economy-wide factors than by fund-specific characteristics. In particular, decreases in funding costs and increases in market values both forecast increases in hedge fund leverage. Decreases in fund return volatilities predict future increases in leverage.

JEL-codes: G01 G1 G12 G18 G21 G23 G28 G32 (search for similar items in EconPapers)
Date: 2011-02
New Economics Papers: this item is included in nep-ban
Note: AP
References: View complete reference list from CitEc
Citations: View citations in EconPapers (118)

Published as Ang, Andrew & Gorovyy, Sergiy & van Inwegen, Gregory B., 2011. "Hedge fund leverage," Journal of Financial Economics, Elsevier, vol. 102(1), pages 102-126, October.

Downloads: (external link)
http://www.nber.org/papers/w16801.pdf (application/pdf)

Related works:
Journal Article: Hedge fund leverage (2011)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:nbr:nberwo:16801

Ordering information: This working paper can be ordered from
http://www.nber.org/papers/w16801

Access Statistics for this paper

More papers in NBER Working Papers from National Bureau of Economic Research, Inc National Bureau of Economic Research, 1050 Massachusetts Avenue Cambridge, MA 02138, U.S.A.. Contact information at EDIRC.
Bibliographic data for series maintained by ().