长期资本管理公司回来的吗?对冲基金国债交易、资金脆弱性和风险约束

IF 10.4 1区经济学 Q1 BUSINESS, FINANCE

Journal of Financial Economics Pub Date : 2025-04-23 DOI:10.1016/j.jfineco.2025.104017

Mathias S. Kruttli , Phillip J. Monin , Lubomir Petrasek , Sumudu W. Watugala

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引用次数: 0

摘要

我们利用2020年的国债市场冲击来分析外部和内部约束如何影响套利者。利用监管文件，我们发现对冲基金减少了套利活动，增加了现金持有量，尽管信贷稳定，同期赎回率较低。债权人的监管和流动性限制没有通过回购-国债套利者的主要融资来源传播到对冲基金。基金债权人借款数据显示，受到更多监管的交易商提供了不成比例的更高融资，而更重要的客户获得了更高的融资。各基金报告的风险价值表明，内部风险约束具有约束力。我们的研究结果支持理论预测，即即使在同期融资保持弹性的情况下，套利者风险约束和预防性流动性管理也会放大市场不稳定性。

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LTCM Redux? Hedge fund Treasury trading, funding fragility, and risk constraints

We exploit the 2020 Treasury market shock to analyze how external and internal constraints impact arbitrageurs. Using regulatory filings, we find that hedge funds reduced arbitrage activities and increased cash holdings, despite stable credit and low contemporaneous redemptions. Creditors’ regulatory and liquidity constraints were not propagated to hedge funds through repo—Treasury arbitrageurs’ predominant financing source. Fund-creditor borrowing data reveal more regulated dealers provided, and more important clients received, disproportionately higher funding. Value-at-risk reported by funds suggests internal risk constraints were binding. Our results support theoretical predictions that arbitrageur risk constraints and precautionary liquidity management can amplify market instability even when contemporaneous financing remains resilient.

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来源期刊

Journal of Financial Economics Multiple-

CiteScore

15.80

自引率

4.50%

发文量

192

审稿时长

37 days

期刊介绍： The Journal of Financial Economics provides a specialized forum for the publication of research in the area of financial economics and the theory of the firm, placing primary emphasis on the highest quality analytical, empirical, and clinical contributions in the following major areas: capital markets, financial institutions, corporate finance, corporate governance, and the economics of organizations.