What Constrains Liquidity Provision? Evidence From Institutional Trades

Efe Çötelioğlu, Francesco Franzoni, Alberto Plazzi
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引用次数: 12

Abstract

The paper investigates the determinants of limits of arbitrage for liquidity providers. Using data on institutional transactions, we compare hedge fund trades to those of other institutions. We find that hedge funds’ liquidity provision is more exposed to financial conditions than that of other institutions. We identify leverage, low redemptions restrictions, asset illiquidity, and reputational capital as a relevant set of characteristics that explain the exposure of hedge funds’ liquidity supply to funding conditions. Finally, we find that the trades of financially constrained hedge funds underperform for at least one quarter following negative funding shocks.
是什么限制了流动性供应?来自机构交易的证据
本文研究了流动性提供者套利限制的决定因素。我们利用机构交易数据,将对冲基金的交易与其他机构的交易进行比较。我们发现对冲基金的流动性供应比其他机构更容易受到金融状况的影响。我们认为杠杆、低赎回限制、资产非流动性和声誉资本是解释对冲基金流动性供应暴露于融资条件的一系列相关特征。最后,我们发现,在负面资金冲击之后,财务受限的对冲基金的交易至少有一个季度表现不佳。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
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