English, Article edition: Leveraged investor disclosures and concentrations of risk Ko, K. Jeremy

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Physical Description
  • article
Language
  • English

Edition details

Title
  • Leveraged investor disclosures and concentrations of risk
Author
  • Ko, K. Jeremy
Physical Description
  • article
Notes
  • We analyze a model where investors (e.g., hedge funds) need to borrow from lenders with heterogeneous risk-exposures and risk-management motives. Investors may obtain advantageous terms of borrowing by disclosing their investment strategy, thereby revealing its correlation to the lender's existing risk exposure. Investors risk being "front-run" by their lender if they disclose, however. We show that in the presence of front-running, the "unraveling" result of full disclosure may not hold. In addition, disclosure regulation results in a loss of welfare since investors compelled to disclose will mitigate front-running by choosing a lender with sufficiently high correlation, thus exacerbating concentrations of risk.
  • Hedge funds Disclosure Risk management Front-running Systemic risk
  • RePEc:eee:finmar:v:12:y:2009:i:3:p:368-390
Language
  • English
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