high profile hedge fund activism指的什么意思

来源：蜘蛛抓取(WebSpider) 时间：2017-01-24 06:29 标签： hedge fund slogan
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1. 3-4 years working experience in operations dept of bulge- bracket, like Goldman Sachs, Morgan Stanley etc.2. Familiar with basic products...
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Market Liquidity, Funding Liquidity, and Hedge Fund….pdf43页
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Market Liquidity, Funding Liquidity, and Hedge Fund Performance Mahmut Ilerisoy* J. Sa-Aadu? Ashish Tiwari? October 27, 2015 Abstract
interaction
funds’ performance
market liquidity risk and funding liquidity
risk. Using a 2-state Markov regime switching model
market-wide
liquidity.
liquidity risk
exposures earn a premium in the high liquidity regime, this premium vanishes in
the low liquidity states. Moreover, funding liquidity
risk, measured by the sensitivity of a hedge
Treasury-Eurodollar
determinant
performance.
underperform
low-loading
funds by about 0.49%
annually in the high
liquidity regime, during .
These results provide support for the Brunnermeier and Pedersen
theoretical model that
rationalizes the link between market liquidity and funding liquidity.
JEL Classification: G11, G12, G23
Keywords: Hedge Funds, Liquidity Risk, Market liquidity, Funding Liquidity, Liquidity Regimes
* Faculty of Business Administration, Bilkent University, MA 315, Ankara, Turkey 06800.
Email: ilerisoy@bilkent.edu.tr
? Department of Finance, Tippie College of Business, University of Iowa, 108 PBB, Iowa City, IA 5.
Email: jsa-aadu@uiowa.edu
? Department of Finance, Tippie College of Business, University of Iowa, 108 PBB, Iowa City, IA .
Email: ashish-tiwari@uiowa.edu I. Introduction The financial crisis of 2008 provided a dramatic illustration of the importance of liquidity in financial markets. In addition to this recent episode, a number of other prior events including the October 1987 market crash, the 1998 Russian debt crisis, and the 2007 Quant
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