Please use this identifier to cite or link to this item: http://hdl.handle.net/10397/68910
Title: Prime broker-level comovement in hedge fund returns : information or contagion?
Authors: Chung, JW
Kang, B 
Issue Date: 2016
Publisher: Oxford University Press
Source: Review of financial studies, 2016, v. 29, no. 12, p. 3321-3353 How to cite?
Journal: Review of financial studies 
Abstract: We document strong comovement in the returns of hedge funds sharing the same prime broker. This comovement is driven neither by funds in the same family nor in the same style, and it is distinct from market-wide and local comovement. The common information hypothesis attributes this phenomenon to the prime broker providing valuable information to its hedge fund clients. The prime broker-level contagion hypothesis attributes the comovement to the prime broker spreading funding liquidity shocks across its hedge fund clients. We find strong evidence supporting the common information hypothesis, but limited evidence in favor of the prime broker-level contagion hypothesis.
URI: http://hdl.handle.net/10397/68910
ISSN: 0893-9454
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