کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
961677 | 929895 | 2011 | 46 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
What happened to the quants in August 2007? Evidence from factors and transactions data
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موضوعات مرتبط
علوم انسانی و اجتماعی
اقتصاد، اقتصادسنجی و امور مالی
اقتصاد و اقتصادسنجی
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چکیده انگلیسی
Using the simulated returns of long/short equity portfolios based on five valuation factors, we find evidence that the “Quant Meltdown” of August 2007 began in July and continued until the end of 2007. We simulate a high-frequency marketmaking strategy, which exhibited significant losses during the week of August 6, 2007, but was profitable before and after, suggesting that the dislocation was due to market-wide deleveraging and a sudden withdrawal of marketmaking risk capital starting August 8. We identify two unwinds – one on August 1 starting at 10:45am and ending at 11:30am, and a second at the open on August 6, ending at 1:00pm – that began with stocks in the financial sector, long book-to-market, and short earnings momentum.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Financial Markets - Volume 14, Issue 1, February 2011, Pages 1–46
Journal: Journal of Financial Markets - Volume 14, Issue 1, February 2011, Pages 1–46
نویسندگان
Amir E. Khandani, Andrew W. Lo,