Commonality in hedge fund returns: driving factors and implications

Matthieu Bussiere, Marie Hoerova and Benjamin Klaus

No 1658, Working Paper Series from European Central Bank

Abstract: We measure the commonality in hedge fund returns, identify its main driving factor and analyse its implications for financial stability. We find that hedge funds JEL Classification: G01, G10, G11, G23

Keywords: commonality; financial crisis; hedge funds; liquidity; risk factors (search for similar items in EconPapers)
Date: 2014-03
New Economics Papers: this item is included in nep-fmk and nep-rmg
Note: 919428
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

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Related works:
Journal Article: Commonality in hedge fund returns: Driving factors and implications (2015)
Working Paper: Commonality in hedge fund returns: driving factors and implications (2012)
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Persistent link: https://EconPapers.repec.org/RePEc:ecb:ecbwps:20141658

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