期刊名称：Euro Area Balance of Payments and International Investment Position Statistics
印刷版ISSN：1830-3420
电子版ISSN：1830-3439
出版年度：2014
出版社：European Central Bank
摘要：We measure the commonality in hedge fund returns, identify its main drivingfactor and analyze its implications for financial stability. We find that hedgefunds’ commonality increased significantly from 2003 until 2006. We attribute thisrise 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. Ourresults show that funds with a high commonality were affected disproportionatelyby illiquidity and exhibited negative returns during the subsequent financial crisis,thereby providing little diversification benefits to the financial system and toinvestors.
