| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP13645 |
| DP13645 What Constrains Liquidity Provision? Evidence From Hedge Fund Trades | |
| Francesco Franzoni; Alberto Plazzi; Efe Cotelioglu | |
| 发表日期 | 2019-04-02 |
| 出版年 | 2019 |
| 语种 | 英语 |
| 摘要 | The paper investigates the determinants of limits of arbitrage for liquidity providers. Using data on institutional transactions, we find that hedge funds' liquidity provision is more exposed to financial conditions than that of other institutions, notably mutual funds. We identify leverage, age, asset illiquidity, and reputational capital as a relevant set of characteristics that explain the exposure of hedge funds' liquidity supply to funding conditions. Stocks with more exposure to constrained liquidity providing hedge funds suffered more during the financial crisis. Finally, we find that the trades of financially constrained hedge funds underperform for at least one quarter following negative funding shocks. |
| 主题 | Financial Economics |
| 关键词 | Hedge funds Limits of arbitrage Liquidity provision Trading costs Funding liquidity |
| URL | https://cepr.org/publications/dp13645 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/542504 |
| 推荐引用方式 GB/T 7714 | Francesco Franzoni,Alberto Plazzi,Efe Cotelioglu. DP13645 What Constrains Liquidity Provision? Evidence From Hedge Fund Trades. 2019. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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