TY  - BOOK
AU  - Ang,Andrew
AU  - Gorovyy,Sergiy
AU  - van Inwegen,Gregory B.
ED  - National Bureau of Economic Research.
TI  - Hedge Fund Leverage
T2  - NBER working paper series
PY  - 2011///
CY  - Cambridge, Mass.
PB  - National Bureau of Economic Research
N1  - February 2011; Hardcopy version available to institutional subscribers
N2  - 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
UR  - https://www.nber.org/papers/w16801
UR  - http://dx.doi.org/10.3386/w16801
ER  -