Matches in SemOpenAlex for { <https://semopenalex.org/work/W2892056295> ?p ?o ?g. }
Showing items 1 to 72 of
72
with 100 items per page.
- W2892056295 abstract "During the week of August 6, 2007, a number of quantitative long/short equity hedge funds experienced unprecedented losses. It has been hypothesized that a coordinated deleveraging of similarly constructed portfolios caused this temporary dislocation in the market. Using the simulated returns of long/short equity portfolios based on five specific valuation factors, we find evidence that the unwinding of these portfolios began in July 2007 and continued until the end of 2007. Using transactions data, we find that the simulated returns of a simple marketmaking strategy were significantly negative during the week of August 6, 2007, but positive before and after, suggesting that the Quant Meltdown of August 2007 was the combined effects of portfolio deleveraging throughout July and the first week of August, and a temporary withdrawal of marketmaking risk capital starting August 8th. Our simulations point to two unwinds---a mini-unwind on August 1st starting at 10:45am and ending at 11:30am, and a more sustained unwind starting at the open on August 6th and ending at 1:00pm---that began with stocks in the financial sector and long Book-to-Market and short Earnings Momentum. These conjectures have significant implications for the systemic risks posed by the hedge-fund industry." @default.
- W2892056295 created "2018-09-27" @default.
- W2892056295 creator A5049749417 @default.
- W2892056295 creator A5056280358 @default.
- W2892056295 date "2008-11-01" @default.
- W2892056295 modified "2023-09-23" @default.
- W2892056295 title "What Happened To The Quants In August 2007?: Evidence from Factors and Transactions Data" @default.
- W2892056295 hasPublicationYear "2008" @default.
- W2892056295 type Work @default.
- W2892056295 sameAs 2892056295 @default.
- W2892056295 citedByCount "3" @default.
- W2892056295 countsByYear W28920562952012 @default.
- W2892056295 crossrefType "posted-content" @default.
- W2892056295 hasAuthorship W2892056295A5049749417 @default.
- W2892056295 hasAuthorship W2892056295A5056280358 @default.
- W2892056295 hasConcept C10138342 @default.
- W2892056295 hasConcept C106159729 @default.
- W2892056295 hasConcept C118315980 @default.
- W2892056295 hasConcept C120527767 @default.
- W2892056295 hasConcept C144133560 @default.
- W2892056295 hasConcept C162324750 @default.
- W2892056295 hasConcept C17744445 @default.
- W2892056295 hasConcept C186027771 @default.
- W2892056295 hasConcept C199539241 @default.
- W2892056295 hasConcept C199728807 @default.
- W2892056295 hasConcept C204434749 @default.
- W2892056295 hasConcept C2779019792 @default.
- W2892056295 hasConcept C2780821815 @default.
- W2892056295 hasConcept C2781426361 @default.
- W2892056295 hasConcept C556758197 @default.
- W2892056295 hasConcept C60718061 @default.
- W2892056295 hasConceptScore W2892056295C10138342 @default.
- W2892056295 hasConceptScore W2892056295C106159729 @default.
- W2892056295 hasConceptScore W2892056295C118315980 @default.
- W2892056295 hasConceptScore W2892056295C120527767 @default.
- W2892056295 hasConceptScore W2892056295C144133560 @default.
- W2892056295 hasConceptScore W2892056295C162324750 @default.
- W2892056295 hasConceptScore W2892056295C17744445 @default.
- W2892056295 hasConceptScore W2892056295C186027771 @default.
- W2892056295 hasConceptScore W2892056295C199539241 @default.
- W2892056295 hasConceptScore W2892056295C199728807 @default.
- W2892056295 hasConceptScore W2892056295C204434749 @default.
- W2892056295 hasConceptScore W2892056295C2779019792 @default.
- W2892056295 hasConceptScore W2892056295C2780821815 @default.
- W2892056295 hasConceptScore W2892056295C2781426361 @default.
- W2892056295 hasConceptScore W2892056295C556758197 @default.
- W2892056295 hasConceptScore W2892056295C60718061 @default.
- W2892056295 hasOpenAccess W2892056295 @default.
- W2892056295 hasRelatedWork W1652193432 @default.
- W2892056295 hasRelatedWork W1864507378 @default.
- W2892056295 hasRelatedWork W1878166436 @default.
- W2892056295 hasRelatedWork W1970034577 @default.
- W2892056295 hasRelatedWork W2005784002 @default.
- W2892056295 hasRelatedWork W2026983719 @default.
- W2892056295 hasRelatedWork W2029862156 @default.
- W2892056295 hasRelatedWork W2047394894 @default.
- W2892056295 hasRelatedWork W2066288731 @default.
- W2892056295 hasRelatedWork W2249388436 @default.
- W2892056295 hasRelatedWork W226660572 @default.
- W2892056295 hasRelatedWork W2365461126 @default.
- W2892056295 hasRelatedWork W2971930538 @default.
- W2892056295 hasRelatedWork W2996080258 @default.
- W2892056295 hasRelatedWork W3015061440 @default.
- W2892056295 hasRelatedWork W3116395489 @default.
- W2892056295 hasRelatedWork W3123915692 @default.
- W2892056295 hasRelatedWork W3124926492 @default.
- W2892056295 hasRelatedWork W3125789951 @default.
- W2892056295 hasRelatedWork W3133871870 @default.
- W2892056295 isParatext "false" @default.
- W2892056295 isRetracted "false" @default.
- W2892056295 magId "2892056295" @default.
- W2892056295 workType "article" @default.