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 outperform and this pattern is explained by the positive return effect …

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 outperform and this pattern is explained by the positive return effect …

-ante measures of volatility, skewness, and kurtosis implied from stock option prices are positively related to the cross section of … volatility, only the unsystematic components of skewness and kurtosis are related to the cross section of expected stock returns …

exposure to changes in the price of the underlying stock (delta), and exposure to changes in implied volatility (vega) are …-known market, size, book-to-market, momentum, and short-term reversal factors. Additional volatility, stock, and option market …

exposure to changes in the underlying stock price (delta), and exposure to changes in implied volatility (vega) are removed …-to-market, momentum, short-term reversal, volatility, or option market factors …