Matches in SemOpenAlex for { <https://semopenalex.org/work/W2106986439> ?p ?o ?g. }
Showing items 1 to 78 of
78
with 100 items per page.
- W2106986439 abstract "During the week of August 6, 2007, a number of high-prole and highly successful quantitative long/short equity hedge funds experienced unprecedented losses. Based on empirical results from TASS hedge-fund data as well as the simulated performance of a specic long/short equity strategy, we hypothesize that the losses were initiated by the rapid unwinding of one or more sizable quantitative equity market-neutral portfolios. Given the speed and price impact with which this occurred, it was likely the result of a sudden liquidation by a multi-strategy fund or proprietary-trading desk, possibly due to margin calls or a risk reduction. These initial losses then put pressure on a broader set of long/short and long-only equity portfolios, causing further losses on August 9th by triggering stop-loss and de-leveraging policies. A signican t rebound of these strategies occurred on August 10th, which is also consistent with the sudden liquidation hypothesis. This hypothesis suggests that the quantitative nature of the losing strategies was incidental, and the main driver of the losses in August 2007 was the resale liquidation of similar portfolios that happened to be quantitatively constructed. The fact that the source of dislocation in long/short equity portfolios seems to lie elsewhere|apparently in a completely unrelated set of markets and instruments|suggests that systemic risk in the hedge-fund industry may have increased in recent years." @default.
- W2106986439 created "2016-06-24" @default.
- W2106986439 creator A5049749417 @default.
- W2106986439 creator A5056280358 @default.
- W2106986439 date "2007-01-01" @default.
- W2106986439 modified "2023-09-29" @default.
- W2106986439 title "What Happened to the Quants in August 2007?" @default.
- W2106986439 cites W1547280275 @default.
- W2106986439 cites W1559496943 @default.
- W2106986439 cites W1916887425 @default.
- W2106986439 cites W1972852586 @default.
- W2106986439 cites W1979986072 @default.
- W2106986439 cites W1984522981 @default.
- W2106986439 cites W1992426919 @default.
- W2106986439 cites W2033308164 @default.
- W2106986439 cites W2052147470 @default.
- W2106986439 cites W2053275427 @default.
- W2106986439 cites W2093231763 @default.
- W2106986439 cites W2111968865 @default.
- W2106986439 cites W2112090702 @default.
- W2106986439 cites W2112796414 @default.
- W2106986439 cites W2123109271 @default.
- W2106986439 cites W2124582678 @default.
- W2106986439 cites W2130360577 @default.
- W2106986439 cites W2155583491 @default.
- W2106986439 cites W2187388759 @default.
- W2106986439 cites W2323086467 @default.
- W2106986439 cites W2328848660 @default.
- W2106986439 cites W3122305330 @default.
- W2106986439 cites W3124298675 @default.
- W2106986439 cites W3124792793 @default.
- W2106986439 cites W3124981419 @default.
- W2106986439 cites W3125388817 @default.
- W2106986439 cites W4206044844 @default.
- W2106986439 cites W4214518347 @default.
- W2106986439 cites W4234913304 @default.
- W2106986439 cites W4241749579 @default.
- W2106986439 cites W4248503640 @default.
- W2106986439 cites W4254962106 @default.
- W2106986439 cites W4300567850 @default.
- W2106986439 cites W4301893865 @default.
- W2106986439 doi "https://doi.org/10.2139/ssrn.1015987" @default.
- W2106986439 hasPublicationYear "2007" @default.
- W2106986439 type Work @default.
- W2106986439 sameAs 2106986439 @default.
- W2106986439 citedByCount "192" @default.
- W2106986439 countsByYear W21069864392012 @default.
- W2106986439 countsByYear W21069864392013 @default.
- W2106986439 countsByYear W21069864392014 @default.
- W2106986439 countsByYear W21069864392015 @default.
- W2106986439 countsByYear W21069864392016 @default.
- W2106986439 countsByYear W21069864392017 @default.
- W2106986439 countsByYear W21069864392018 @default.
- W2106986439 countsByYear W21069864392019 @default.
- W2106986439 countsByYear W21069864392021 @default.
- W2106986439 countsByYear W21069864392022 @default.
- W2106986439 crossrefType "journal-article" @default.
- W2106986439 hasAuthorship W2106986439A5049749417 @default.
- W2106986439 hasAuthorship W2106986439A5056280358 @default.
- W2106986439 hasConcept C95457728 @default.
- W2106986439 hasConceptScore W2106986439C95457728 @default.
- W2106986439 hasLocation W21069864391 @default.
- W2106986439 hasOpenAccess W2106986439 @default.
- W2106986439 hasPrimaryLocation W21069864391 @default.
- W2106986439 hasRelatedWork W2332941581 @default.
- W2106986439 hasRelatedWork W2488258410 @default.
- W2106986439 hasRelatedWork W2498735738 @default.
- W2106986439 hasRelatedWork W2503791906 @default.
- W2106986439 hasRelatedWork W2587147951 @default.
- W2106986439 hasRelatedWork W2587265756 @default.
- W2106986439 hasRelatedWork W2899084033 @default.
- W2106986439 hasRelatedWork W2904507792 @default.
- W2106986439 hasRelatedWork W2946980061 @default.
- W2106986439 hasRelatedWork W2947840720 @default.
- W2106986439 isParatext "false" @default.
- W2106986439 isRetracted "false" @default.
- W2106986439 magId "2106986439" @default.
- W2106986439 workType "article" @default.