This paper investigates the nature of volatility spillovers between stock returns and hedge funds returns in twelve … EGARCH methodology to model volatility and volatility spillovers in and between the markets. Our results show that the … volatility of stock returns does not affect the volatility of hedge funds returns; however, there are inconsistent evidence of …

purchased by institutional blockholders with stricter redemption policies experience a significant decrease in volatility …

The low-volatility anomaly is often attributed to limits to arbitrage, such as leverage, short-selling and benchmark … that is able to benefit from the anomaly. This paper finds that the return difference between low- and high-volatility ….e. hedge funds tend to bet not on, but against the low-volatility anomaly. This finding suggests that limits to arbitrage are …