We propose several econometric measures of connectedness based on principal-
components analysis and Granger-causality networks, and apply them to the monthly …

This paper documents that hedge funds did not exert a correcting force on stock prices
during the technology bubble. Instead, they were heavily invested in technology stocks. This …

The returns to hedge funds and other alternative investments are often highly serially
correlated. In this paper, we explore several sources of such serial correlation and show that …

Hedge funds have become increasingly important players in financial markets. This
heightened importance has spawned a large academic literature focused on issues …

The hedge-fund industry has grown rapidly over the past two decades, offering investors
unique investment opportunities that often reflect more complex risk exposures than those of …

The coincident rise in crude oil prices and increased number of financial participants in the
crude oil futures market from 2000-2008 has led to allegations that “speculators” drive crude …

We conduct an analysis of the risk and return characteristics of a number of widely used
fixed-income arbitrage strategies. We find that the strategies requiring more “intellectual …

We use data from 2005–2009 that uniquely identify categories of traders to test how
speculators such as hedge funds and swap dealers relate to volatility and price changes. In …

We examine the trading strategies of mutual funds in emerging markets. We develop a
method for disentangling the behavior of fund managers from that of underlying investors …

Hedge funds are often cited as attractive investments because of their diversification benefits
and distinctive risk profiles-in contrast to traditional investments such as stocks and bonds …