Bali, Turan G.; Brown, Stephen J.; Caglayan, Mustafa Onur - In: Journal of Financial Economics 106 (2012) 1, pp. 114-131
This paper investigates the extent to which market risk, residual risk, and tail risk explain the cross …-sectional dispersion in hedge fund returns. The paper introduces a comprehensive measure of systematic risk (SR) for individual hedge funds … by breaking up total risk into systematic and fund-specific or residual risk components. Contrary to the popular …