Prime Broker-Level Comovement in Hedge Fund Returns: Information or Contagion?
研究发现共享同一主经纪商的对冲基金收益存在显著联动，且主要由主经纪商提供的信息驱动，而非流动性传染。
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. Received September 6, 2014; accepted January 7, 2016 by Editor Philip Strahan.