Izvorni znanstveni članak
https://doi.org/10.1080/1331677X.2020.1782245
Hedge fund market runs during financial crises
Sangwook Sung
Dohyun Chun
Hoon Cho
Doojin Ryu
Sažetak
Hedge funds exit financial markets simultaneously after enormous
shocks, such as the global financial crisis. While previous studies
highlight only fund investors’ synchronized withdrawals as the
major driver of massive asset liquidations, we primarily focus on
informed and rational fund managers and suggest a theoretical
model that illustrates fund managers’ synchronized market runs.
This study shows that the possibility of runs induces panic-based
market runs not because of systematic risk itself but because of
the fear of runs. We find that when the market regime changes
from a normal to a ‘bad’ state in which runs are possible, hedge
funds reduce their investments prior to runs. In addition, market
runs are more likely to occur in markets in which hedge funds
have greater market exposure and uninformed traders are more
sensitive to past price movements
Ključne riječi
Financial crises; hedge funds; limits to arbitrage; market runs; synchronization risk
Hrčak ID:
301163
URI
Datum izdavanja:
31.12.2021.
Posjeta: 425 *