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robust and significant negative risk premium for VOV exposure in the crosssection of hedge fund returns. We further show that … uncertainty in the market is less. Furthermore, the variation in the VOV betas is consistent with the risk-taking incentives of …
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set of fund characteristics, we document a robust and significant negative risk premium for VOV exposure in the cross … of hedge funds is distinct from that of mutual funds and is consistent with the dynamic trading of hedge funds and risk …
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While it is established that idiosyncratic volatility has a negative impact on the cross-section of future stock returns, the relationship between idiosyncratic volatility and future hedge fund returns is largely unexplored. We document that hedge funds with high idiosyncratic volatility...
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with high UP outperform those with low UP by 7.2% p.a. after accounting for typical hedge fund risk factors. In a horse …
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