Crowded Trades and Tail Risk
活動時間☮️：11月10日10:00 – 11:30
活動地點：Virtual Meeting through XYLink (小魚易連)
活動演講人： Christian Lundblad
活動內容
Topic
Speaker
Christian Lundblad
Professor of Finance, The University of North Carolina at Chapel Hill
Abstract
Hedge fund positions are an important component of crowded trades. These vehicles are particularly active, take highly concentrated positions, and utilize leverage and short sales. Using a database of hedge fund holdings, we measure the degree of security-level crowdedness. The difference between the average returns on portfolios sorted by high versus low crowdedness portfolios is sizable and their variation is distinct from other traditional risk factors. Further, hedge fund exposures to crowdedness are often significant and they help to explain downside "tail risk", as funds with higher exposures experience relatively larger drawdowns during periods of industry distress.