Hedge Funds and the Technology Bubble

By Markus K. Brunnermeier, Stefan Nagel. 2004

1,112 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/f0811cd95ad96acc232db4a7b5d5112b5f9534ab

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

In Finance

Citations in the corpus

The Market for News (2005, critical): “Subsequent research, however, has proved him wrong, both theoretically and empirically (Shleifer, 2000; Markus Brunnermeier and Stefan Nagel, 2004).”
Econometric Measures of Systemic Risk in the Finance and Insurance Sectors (2010, methodology): “In a recent paper, Brunnermeier et al. (2009) describe requirements for a systemic risk measure: “A systemic risk measure should identify the risk on the system by individually systemic institutions, which are so interconnected and large that they can cause negative risk spillover effects on others,”
Bubbles, Financial Crises, and Systemic Risk (2012, neutral): “For example, between 1998 and 2000, hedge funds were heavily invested in technology stocks (Brunnermeier and Nagel (2004)).”
Disagreement and Return Predictability of Stock Portfolios (2011, neutral): “Also, when a single arbitrageur cannot undo the mispricing of a large stock, the synchronization problem among arbitrageurs (Abreu and Brunnermeier, 2002, 2003; Brunnermeier and Nagel, 2004) may create limits to arbitrage or even amplify the mispricing.”
Evolution in Value Relevance of Accounting Information (2019, positive): “Brunnermeier and Nagel (2004) finds hedge funds traded against fundamentals from 1998 to 2000, which was the height of the technology bubble, and Dontoh, Radhakrishnan, and Ronen (2004) posits this increased presence of noise traders exacerbates the decline in value”
Institutional Investors and the Informational Efficiency of Prices (2009, neutral): “Brunnermeier and Nagel (2004) note several factors may prevent arbitrage in the case of hedge funds.”
Sentiment Metrics and Investor Demand (2019, background): “…speculators (attempting to ride bubbles) buy speculative stocks, some third group of traders must sell speculative stocks.36 Nonetheless, previous work (e.g., Brunnermeier and Nagel (2004)) suggests that hedge funds are more likely to attempt to ride bubbles than other types of institutions.”
Information Uncertainty and Expected Returns (2005, background): “Brunnermeier and Nagel (2003) offer an interesting case study of this phenomenon.”
Measuring Systemic Risk in the Finance and Insurance Sectors (2010, methodology): “In a recent paper, Brunnermeier et al. (2009) describe requirements for a systemic risk measure: “A systemic risk measure should identify the risk on the system by individually systemic institutions, which are so interconnected and large that they can cause negative risk spillover effects on others,”
Multinationals as Arbitrageurs: The Effect of Stock Market Valuations on Foreign Direct Investment (2009, positive): “If the overpricing increases before it reverts, he may be forced to close the position at a loss due to the margin requirements or agency relationships that shorten his horizon (e.g., Shleifer, 2000; and Brunnermeier and Nagel, 2004).”