Hedge Fund Contagion and Liquidity

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Nicole M. Boyson; Christof W. Stahel; Rene M. Stulz;
  • Subject:
    • jel: jel:G12 | jel:G23 | jel:G11 | jel:G18

Using hedge fund indices representing eight different styles, we find strong evidence of contagion within the hedge fund sector: controlling for a number of risk factors, the average probability that a hedge fund style index has extreme poor performance (lower 10% tail)... View more
  • References (5)

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