TY  - JOUR
AU  - Ang,Andrew
AU  - Gorovyy,Sergiy
AU  - Inwegen,Gregory B. van
TI  - Hedge Fund Leverage
JF  - National Bureau of Economic Research Working Paper Series
VL  - No. 16801
PY  - 2011
Y2  - February 2011
UR  - http://www.nber.org/papers/w16801
L1  - http://www.nber.org/papers/w16801.pdf
N1  - Author contact info:
Andrew Ang
Columbia Business School
3022 Broadway 413 Uris
New York, NY 10027
Tel: 212/854-9154
Fax: 212/662-8474
E-Mail: aa610@columbia.edu

Sergiy Gorovyy
Columbia University
3022 Broadway 5I Uris
New York, NY 10027
E-Mail: sgorovyy14@gsb.columbia.edu

Gregory B. van Inwegen
Citi Private Bank
200 First Stamford Place 2nd Floor
Stamford, CT 06902
E-Mail: greg.vaninwegen@citi.com
AB  - We investigate the leverage of hedge funds in the time series and cross section. Hedge fund leverage is counter-cyclical to the leverage of listed financial intermediaries and decreases prior to the start of the financial crisis in mid-2007. Hedge fund leverage is lowest in early 2009 when the market leverage of investment banks is highest. Changes in hedge fund leverage tend to be more predictable by economy-wide factors than by fund-specific characteristics. In particular, decreases in funding costs and increases in market values both forecast increases in hedge fund leverage. Decreases in fund return volatilities predict future increases in leverage.
ER  -