What Happened to the Quants in August 2007?: Evidence from Factors and Transactions Data
By Amir Ehsan Khandani, Andrew W. Lo. 2010
543 citations recorded by the source corpus.
Subfields: Economics and Econometrics, Finance
View Paper: https://www.semanticscholar.org/paper/1a4dc5f00cfbbdbdda3362c132d38d41d4f30cd5
How researchers see this paper
The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.
In Economics and Econometrics
- Kuan-Hui Lee
- Christopher Krauss
- G. Karolyi
- Mathijs A. Van Dijk
- P. Kelly
- John Y. Campbell
- Federico Nardari
- John M. Griffin
In Finance
- Christopher Krauss
- Kuan-Hui Lee
- John Y. Campbell
- Jens Hilscher
- J. Szilágyi
- G. Karolyi
- Mathijs A. Van Dijk
- Federico Nardari
Citations in the corpus
- Deep neural networks, gradient-boosted trees, random forests: Statistical arbitrage on the S&P 500 (2017, background): “The underlying models are highly proprietary and - for obvious reasons - not accessible to researchers or the general public (Khandani and Lo, 2011).”
- The Growth and Limits of Arbitrage: Evidence from Short Interest (2014, background): “Large swings in short interest are observed during the financial crisis from 2007 to 2009, registering a marked drop in August 2007, presumably due to the “quant meltdown” (see Khandani and Lo (2007); Pedersen (2009)), and in September 2008, when the SEC imposed a partial ban on short sales for fina”
- Corporate immunity to the COVID-19 pandemic (2020, unknown): “These findings are consistent with the view that hedge funds (and other actively managed funds) sell their shares rapidly in response to new information about COVID-19 cases or to meet liquidity needs ( Stein, 2009 ; Khandani and Lo, 2011 ), putting downward pressure on prices. Our findings on hedge”
- Predicting Financial Distress and the Performance of Distressed Stocks (2011, background): “In many areas of quantitative equity investing, profits have declined over time due to increased entry into the market and the resulting increase in competition (Khandani and Lo (2007)).”
- Do Market Efficiency Measures Yield Correct Inferences? A Comparison of Developed and Emerging Markets (2010, background): “Using the Lesmond, Ogden, and Trzcinka (LOT) (1999) measure of trading costs, we find intuitive results: developed markets, like the U.”
- Does Simple Pairs Trading Still Work? (2010, background): “In an illuminating account of the August 2007 event in which quantitative traders suffered one of the biggest losses during the financial crisis of 2007–2009, Khandani and Lo (2007) suggested that the losses resulted from the sudden unwinding of large long–short equity portfolios held by multistrate”