Lessons from the Sub-Prime Crisis

Lessons from the Sub-Prime Crisis

We show that there is significant variation in performance across hedge funds during the subprime crisis. Hedge funds that (i) invested in Asia, (ii) had equity exposure, (iii) adopted directional strategies, or (iv) allowed for frequent redemptions, underperformed other funds. Moreover, leveraged f...

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Main Author: TEO, Melvyn
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 2007
Subjects:
Financial Crisis
Hedge Funds
leveraged funds
credit market liquidity
redemptions
Finance and Financial Management
Online Access:https://ink.library.smu.edu.sg/bnp_research/1
https://ink.library.smu.edu.sg/cgi/viewcontent.cgi?article=1000&context=bnp_research
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Institution: Singapore Management University
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spelling sg-smu-ink.bnp_research-10002018-06-13T07:08:42Z Lessons from the Sub-Prime Crisis TEO, Melvyn We show that there is significant variation in performance across hedge funds during the subprime crisis. Hedge funds that (i) invested in Asia, (ii) had equity exposure, (iii) adopted directional strategies, or (iv) allowed for frequent redemptions, underperformed other funds. Moreover, leveraged funds did not fare significantly worse than their non-leveraged counterparts. Our results suggest that credit market illiquidity was not directly responsible for the bloodshed amongst hedge funds. Rather, funds were hurt by an increase in global risk aversion and by fire sales conducted in anticipation of redemptions. 2007-11-01T07:00:00Z text application/pdf https://ink.library.smu.edu.sg/bnp_research/1 https://ink.library.smu.edu.sg/cgi/viewcontent.cgi?article=1000&context=bnp_research http://creativecommons.org/licenses/by-nc-nd/4.0/ Research Collection BNP Paribas Hedge Fund Centre eng Institutional Knowledge at Singapore Management University Financial Crisis Hedge Funds leveraged funds credit market liquidity redemptions Finance and Financial Management
institution Singapore Management University
building SMU Libraries
country Singapore
collection InK@SMU
language English
topic Financial Crisis
Hedge Funds
leveraged funds
credit market liquidity
redemptions
Finance and Financial Management
spellingShingle Financial Crisis
Hedge Funds
leveraged funds
credit market liquidity
redemptions
Finance and Financial Management
TEO, Melvyn
Lessons from the Sub-Prime Crisis
description We show that there is significant variation in performance across hedge funds during the subprime crisis. Hedge funds that (i) invested in Asia, (ii) had equity exposure, (iii) adopted directional strategies, or (iv) allowed for frequent redemptions, underperformed other funds. Moreover, leveraged funds did not fare significantly worse than their non-leveraged counterparts. Our results suggest that credit market illiquidity was not directly responsible for the bloodshed amongst hedge funds. Rather, funds were hurt by an increase in global risk aversion and by fire sales conducted in anticipation of redemptions.
format text
author TEO, Melvyn
author_facet TEO, Melvyn
author_sort TEO, Melvyn
title Lessons from the Sub-Prime Crisis
title_short Lessons from the Sub-Prime Crisis
title_full Lessons from the Sub-Prime Crisis
title_fullStr Lessons from the Sub-Prime Crisis
title_full_unstemmed Lessons from the Sub-Prime Crisis
title_sort lessons from the sub-prime crisis
publisher Institutional Knowledge at Singapore Management University
publishDate 2007
url https://ink.library.smu.edu.sg/bnp_research/1
https://ink.library.smu.edu.sg/cgi/viewcontent.cgi?article=1000&context=bnp_research
_version_ 1681132761452118016

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