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The Economics and Finance of Hedge Funds: A Review of the Academic Literature

机译：对冲基金的经济学和金融学：学术文献回顾

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Hedge funds have become increasingly important players in financial markets. This heightened importance has spawned a large academic literature focused on issues pertinent to hedge fund managers, investors, regulators, and policymakers. Although the top four finance journals (the Journal of Finance, the Journal of Financial Economics, the Review of Financial Studies, and the Journal of Financial and Quantitative Analysis) published only 16 papers on hedge funds prior to 2005, they have published 105 papers on hedge funds since 2005. As a result, we felt that it is time to update the monograph published in 2005 [Agarwal and Naik, 2005]. This update, prepared with the help of new coauthor Kevin Mullally, extends the previous monograph along two dimensions. First, it includes reviews of recent studies on topics that were covered in the earlier monograph. Second, it summarizes research on new topics that were not part of the previous monograph. These new topics cover a broad gamut of issues ranging from hedge funds' use of leverage and exposure to different risks to their impact on various asset markets. This monograph consists of five broad sections. The first section reviews the literature examining both the time-series and cross-sectional variation in hedge fund performance. Time-series performance studies cover return-generating processes, dynamic risk exposures, and determination of managerial skill. The second section covers studies focused on the cross-sectional relations between hedge funds' characteristics (including contractual features and time-varying features such as size and age) and fund performance. The third section analyzes the literature on the sources and nature of risks faced by hedge fund investors. In particular, we discuss risks that can arise from managerial incentives and sources of capital. The fourth section summarizes research on the role of hedge funds in the financial system. Specific topics here include hedge funds' impact on systemic risk, asset prices, and liquidity provision in financial markets. The fifth and final section focuses on potential biases and limitations of hedge fund data sources.
机译：对冲基金已成为金融市场上越来越重要的参与者。这种日益重要的地位催生了大量关于对冲基金经理，投资者，监管机构和政策制定者相关问题的学术文献。尽管排名前四的金融杂志（《金融杂志》，《金融经济学杂志》，《金融研究评论》和《金融与定量分析杂志》）在2005年之前仅发表了16篇有关对冲基金的论文，但它们已经发表了105篇关于对冲基金的论文。对冲基金自2005年以来。因此，我们认为现在应该更新2005年出版的专着[Agarwal和Naik，2005年]。在新的合著者凯文·穆拉利（Kevin Mullally）的帮助下编写的此更新在两个维度上扩展了以前的专着。首先，它包括对早期专论中涵盖的主题的最新研究的评论。其次，它总结了不属于先前专着的新主题的研究。这些新主题涵盖了广泛的问题，从对冲基金的杠杆使用和不同风险敞口到对各种资产市场的影响。本专论分为五个主要部分。第一部分回顾了研究对冲基金业绩的时间序列和横截面变化的文献。时间序列绩效研究涵盖了产生收益的过程，动态风险敞口以及管理技能的确定。第二部分涵盖对冲基金的特征（包括合约特征和时变特征，如规模和年龄）与基金绩效之间的横断面关系的研究。第三部分分析了对冲基金投资者面临的风险的来源和性质的文献。特别是，我们讨论了管理激励措施和资本来源可能产生的风险。第四部分总结了对冲基金在金融体系中的作用研究。这里的特定主题包括对冲基金对系统风险，资产价格和金融市场流动性准备的影响。第五部分也是最后一部分重点介绍对冲基金数据源的潜在偏见和局限性。

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