Econ Papers Daily / 期刊论文
主经纪商资产负债表约束对对冲基金业绩的影响：来自全球系统重要性银行附加费的经验证据
The effect of prime brokers’ balance sheet constraints on hedge fund performance: Evidence from the GSIB surcharge
摘要
Hedge funds often use leverage provided by prime brokers to enhance their investment returns. We investigate how prime brokers’ capital constraints impact the performance of connected hedge funds. At the hedge fund level, we construct a measure for prime brokers’ balance sheet constraints using the capital requirements under the Basel III framework. We document that tighter balance sheet constraints of prime brokers lead to lower future return, alpha, volatility, Sharpe ratio, and information ratio of the hedge funds. These findings are consistent with an analytical model in which prime brokers respond to balance sheet constraints by increasing leverage cost or decreasing leverage provision to hedge funds. We show that the estimated effects are more pronounced for hedge funds with higher leverage demand elasticities and during more capital-binding periods. Our results reveal the real effects of bank regulation on connected financial institutions via the services of prime brokers. We conduct empirical tests for our identification strategy and support our findings via multiple robustness checks.
中文摘要
对冲基金常利用主经纪商提供的杠杆来提升投资回报。本文研究主经纪商的资本约束如何影响与其关联的对冲基金业绩。在对冲基金层面，我们基于巴塞尔III框架下的资本要求构建了主经纪商资产负债表约束的度量指标。我们发现，主经纪商更紧的资产负债表约束会导致对冲基金未来回报、阿尔法、波动率、夏普比率和信息比率下降。这些发现与一个分析模型一致：在该模型中，主经纪商面对资产负债表约束时，会提高杠杆成本或减少对对冲基金的杠杆供给。我们表明，对于杠杆需求弹性更高的对冲基金以及在资本更受约束的时期，估计效应更为显著。我们的结果揭示了银行监管通过主经纪商服务对关联金融机构产生的实际效应。我们针对识别策略进行了实证检验，并通过多项稳健性检验支持我们的发现。