managers' risk-taking is negatively related to their future management fees. Using fund-level data, we calibrate the present …Hedge fund managers' risk-taking choices are determined by their compensation structure. Most existing studies focus on … how the incentive fee and the high-water mark provision affect managers' risk-taking. We build a simple model to show that …

This paper studies the conjecture that investors prefer derivative markets over the equity market when hedging risks …. An investor who wants to hedge, say inflation or crash risk, generally faces substantially more beta uncertainty in the … that equilibrium risk premiums for assets with large beta uncertainty (long-short portfolio of stocks) decline once …

individual stock markets and the energy portfolio, which in turn may limit the benefit of risk reduction through diversification …. However, this relation can also be used to hedge the common factor arising from energy risk. Doing so provides benefits to … investors in the form of positive risk adjusted returns, although these are episodic …

This is the first study to investigate the profitability of Barroso and Santa-Clara's (2015) risk-managing approach for … George and Hwang's (2004) 52-week high momentum strategy in an industrial portfolio setting. The findings indicate that risk …-managing adds value as the Sharpe ratio increases, and the downside risk decreases notably. Even after controlling for the spread of …

Hedge funds with larger macroeconomic-risk betas do not earn higher returns, contrast to the theoretically predicted … risk-return tradeoff. Meanwhile, high macro-beta funds deliver higher returns than low macro-beta funds following low …-sentiment months, whereas the risk-return relation is flat following high-sentiment months. Our findings are consistent with the …

. Using factor models of risk and the estimated dollar-weighted performance gap, we find that the real alpha of hedge fund …, and are only marginally higher than the risk-free rate as of the end of 2008. The combined impression from these results …