Andrew Ang

Hedge Fund Leverage

Coauthor(s): Sergiy Gorovyy, Greg van Inwegen.


Adobe Acrobat PDF


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.

The PDF above is a preprint version of the article. The final version may be found at < >.

Source: Journal of Financial Economics
Exact Citation:
Ang, Andrew, Sergiy Gorovyy, and Greg van Inwegen. "Hedge Fund Leverage." Journal of Financial Economics 102, no. 1 (October 2011): 102-126.
Volume: 102
Number: 1
Pages: 102-126
Date: 10 2011