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dc.contributor.authorBianchi, Robert J.
dc.contributor.authorDrew, Michael E.
dc.contributor.authorWijeratne, Thanula R.
dc.contributor.editorAkimov, Alexandr
dc.date.accessioned2020-01-16T08:08:07Z
dc.date.available2020-01-16T08:08:07Z
dc.date.issued2010
dc.identifier.issn1836-8123
dc.identifier.otherRePEc:gri:fpaper:finance:201004
dc.identifier.urihttp://hdl.handle.net/10072/390371
dc.description.abstractThis study examines the effects of systemic risk on global hedge fund returns. We consider systemic risk as a conditional information variable to predict the underlying exposures to various asset market returns and risk factors. This study examines a proxy for global systemic risk employed by investment professionals known as the Treasury/Eurodollar (TED) spread. The findings reveal that increases in systemic risk causes some hedge fund investment styles to dynamically reduce their equity and stock momentum exposures while others increase their exposures to investment grade bonds and commodities. The information content of systemic risk via the TED spread assists us in better understanding the behaviour of global hedge fund returns.
dc.format.extent19 pages
dc.languageEnglish
dc.publisherGriffith University
dc.publisher.placeBrisbane, Australia
dc.relation.ispartofpagefrom1
dc.relation.ispartofpageto19
dc.subject.keywordsG00 - Financial Economics: General
dc.title2010-04: Systemic Risk, the TED Spread and Hedge Fund Returns (Working paper)
dc.typeReport
dc.type.descriptionDiscussion Paper
gro.facultyGriffith Business School
gro.description.notepublicFinance
gro.rights.copyrightCopyright © 2010 by author(s). No part of this paper may be reproduced in any form, or stored in a retrieval system, without prior permission of the author(s).
gro.date.issued2010
gro.hasfulltextFull Text
gro.griffith.authorDrew, Michael E.


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