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Autoren: 
Bussière, Matthieu
Hoerova, Marie
Klaus, Benjamin
Datum: 
2014
Reihe/Nr.: 
ECB Working Paper 1658
Zusammenfassung: 
We measure the commonality in hedge fund returns, identify its main driving factor and analyse its implications for financial stability. We find that hedge funds’ commonality increased significantly from 2003 until 2006. We attribute this rise mainly to the increase in hedge funds’ exposure to emerging market equities, which we identify as a common factor in hedge fund returns over this period. Our results show that funds with a high commonality were affected disproportionately by illiquidity and exhibited negative returns during the subsequent financial crisis, thereby providing little diversification benefits to the financial system and to investors.
Schlagwörter: 
commonality
financial crisis
hedge funds
liquidity
risk factors
JEL: 
G01
G10
G11
G23
Dokumentart: 
Working Paper
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