Browsing Handelshøyskolen BI by Subject "Hedge funds"
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High Funding Risk and Low Hedge Fund Returns
(Journal article; Peer reviewed, 2022)I show that hedge funds with a high exposure to market-wide funding shocks—measured by changes in Libor-OIS spreads—subsequently underperform funds with a low exposure to market-wide funding shocks by 5.76% annually on a ...