Agarwal, Vikas; Ruenzi, Stefan; Weigert, Florian - 2015 - This version: May 10, 2015
We develop a new systematic tail risk measure for equity-oriented hedge funds to examine the impact of tail risk on fund performance and to identify the sources of tail risk. We find that tail risk affects the cross-sectional variation in fund returns, and investments in both, tail-sensitive...
