Hedge fund leverage: 2002–2017
利用2002至2017年的大面板数据，研究了对冲基金杠杆的动态变化，发现超过70%的对冲基金使用杠杆，且杠杆水平与基金年龄、治理、业绩、风险、费用、流动性及存续等因素相关。
Abstract Using a large panel data set, we investigate the dynamics of hedge fund leverage from 2002 to 2017 and find considerable variations in both time series and cross section. More than 70% of hedge funds use leverage and almost half of the leveraged funds are levered through margin borrowing. On average, hedge funds decreased leverage prior to the beginning of the financial crisis, with leverage remaining below the pre‐crisis levels. We find that the level of leverage and its changes are related to fund characteristics such as age, governance, performance, risk, fees, liquidity, survival, and the birth of a new fund.