자료실
자료실
[2014년 제 4차] Prime Broker-Level Comovement in Hedge Fund Returns
작성자 : 관리자
조회수 : 932
게시일 :
2014-12-12
We document strong comovement in the returns of hedge funds serviced by the same prime broker. This comovement is driven neither by funds in the same family nor in the same style and is distinct from market-wide and local comovement in hedge fund returns. The common information hypothesis attributes this phenomenon to the prime broker providing valuable information to its hedge fund clients. The prime broker-level contagion hypothesis attributes it to the prime broker transmitting funding liquidity shocks across its hedge fund clients. We find strong evidence supporting the information-based explanation, but little evidence in favor of the contagion-based explanation.