![]() Two major banks have stated that they may face significant losses as a result of their exposure to a hedge fund, leaving traders and investors wondering what will happen next. Lo considers a hypo-thetical hedge fund, Capital Decimation Partners (CDP). 1 A simple example of RRT is provided by Lo (2001). A liquidation of holdings at several major investment banks with ties to Tiger Cub Archegos Capital Management LLC contributed to an unseen daily decline Friday in shares of stocks including. Some analysts believe the selling will subside, but others are concerned that it will have a broader impact. triggered by the liquidation of Archegos, managers' RRT can be a signi - cant source of concern to bondholders, shareholders, investors, and nancial regulators. We have read The Journal of Finance disclosure policy and have no conflicts of interest to disclose. On Friday, Archegos Capital Management triggered a 20 billion sell order. Dunhong Jin would also like to thank the University of Oxford for the doctoral student research support she received while working on this research. Archegos’ liquidation blew up 50 billion in apparent values of a few stocks in which the hedge fund had appeared to become the biggest holder. We are also indebted to the Editor, Philip Bond, the Associate Editor, and two anonymous reviewers for numerous insightful suggestions that have fundamentally improved this manuscript. shares tumbling by 13 in a single day in 2010, when it accused the firm of defrauding customers by selling them a mortgage-backed investment that was secretly designed to fail.eleven years later, shareholders who lost money that april day are before the u.s. The margin calls triggered a cascade of forced liquidations of Archegos. ![]() Thanks are also extended to Herve Roche and Sebastian Gryglewicz for many helpful comments. securities and exchange commission sent goldman sachs group inc. Archegos Capital Management, whose name comes from the Greek word for leader. dollarAfter the loss, the global banking industry has so far exceeded 10 billion related losses due to Archegos Capital ManagementU.S. The much bigger issue were the stocks held by the banks as a hedge on their own books. Disclosure of a total of 3.7 billion in Nomura Holdings Inc. ![]() We would like to thank seminar participants at the Oxford-Man Institute of Quantitative Finance, International Risk Management Conference 2018, Bank of Finland, Cleveland Federal Reserve Bank, Econometric Society North American, European Econometric Society (EEA-ESEM), the Rotterdam Executive Compensation Conference, and the University of Sussex. And the value and potential liquidation of the collateral was not necessarily a problem, depending on what type of collateral was used. Thomas Noe is at Saïd Business School, University of Oxford. Jin is at HKU Business School, The University of Hong Kong.
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