What Happened To The Quants In August 2007?: Evidence from Factors and Transactions Data
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During the week of August 6, 2007, a number of quantitative long/short equity hedge funds experienced unprecedented losses. It has been hypothesized that a coordinated deleveraging of similarly constructed portfolios caused this temporary dislocation in the market. Using the simulated returns of
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美国国家经济研究局创建时间：
2008-11-01
