Hedge Fund Contagion and Liquidity Shocks

By N. Boyson, Christof W. Stahel, René M. Stulz. 2010

402 citations recorded by the source corpus.

Subfields: Finance

View Paper: https://www.semanticscholar.org/paper/be26e96240d18ea9d00c9e2fe2c6d0ae9dc399d1

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Citations in the corpus

Assessing the Contribution of Banks, Insurance and Other Financial Services to Systemic Risk (2014, neutral): “Using quantile regressions coupled with a logit model, Boyson et al. (2010) find strong evidence of spillover effects across hedge fund styles in the United States.”
Where the Risks Lie: A Survey on Systemic Risk (2017, positive): “Following Brownlees and Engle (2015), we estimate the MES and SRISK using a GARCH-DCC model.”
Flights to Safety (2014, neutral): “For example, Boyson et al. (2010) suggest that hedge funds may experience contagion effects in response to large adverse shocks to asset and hedge fund liquidity; Sadka (2012) shows that liquidity risk is an important factor in explaining the cross-section of hedge fund returns; and Cao et al. (2013”
Hedge Fund Stock Trading in the Financial Crisis of 2007-2009 (2012, neutral): “Also, we compute abnormal returns from TASS-fund-level returns using the procedure in Boyson, Stahel, and Stulz (2010).”
Liquidity Risk and the Cross-Section of Hedge-Fund Returns (2010, result): “This result is consistent with the increased likelihood of hedge fund contagion during liquidity shocks shown in Boyson, Stahel, and Stulz (2010).”
The “Big C”: identifying and mitigating contagion (2012, neutral): “More recent examples of papers using extreme value theory are: Bae et al. (2003), Longin and Solnik (2001), Hartman et al. (2004) Boyer et al. (2006), and Boyson et al. (2010).”
Value and Momentum Everywhere: Value and Momentum Everywhere (2013, neutral): “These results are consistent with Boyson, Stahel, and Stulz (2010), Sadka (2012), and Bali, Brown, and Caglayan (2011, 2012), who find that the Fama and French U.S. stock factors do not explain the cross section of hedge fund returns very well.”
Can Hedge Funds Time Market Liquidity (2012, neutral): “Such liquidity-based transmission channels have been documented in a recent study by Boyson, Stahel, and Stulz (2010), who show that large declines in stock-market liquidity can cause contagion in hedge-fund returns.”