Hedge Fund Contagion and Liquidity Shocks

@article{Boyson2010HedgeFC,
  title={Hedge Fund Contagion and Liquidity Shocks},
  author={Nicole M. Boyson and Christof W. Stahel and Ren{\'e} Stulz},
  journal={Mutual Funds},
  year={2010}
}
Defining contagion as correlation over and above that expected from economic fundamentals, we find strong evidence of worst return contagion across hedge fund styles for 1990 to 2008. Large adverse shocks to asset and hedge fund liquidity strongly increase the probability of contagion. Specifically, large adverse shocks to credit spreads, the TED spread, prime broker and bank stock prices, stock market liquidity, and hedge fund flows are associated with a significant increase in the probability… Expand
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