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Keywords: Libor
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Journal Articles
Journal:
Critical Finance Review
Critical Finance Review (2022) 11 (3-4): 505–539.
Published: 10 August 2022
...Sven Klingler I show that hedge funds with a high exposure to market-wide funding shocks—measured by changes in Libor-OIS spreads—subsequently underperform funds with a low exposure to market-wide funding shocks by 5.76% annually on a risk-adjusted basis (t = 4.04). To explain...
Includes: Supplementary data
