We measure a stock's exposure to fire sale risk through its ownership links to equity mutual funds that experience … cannot be explained by several known determinants of average returns and are consistent with the ex-ante pricing of the risk …

The paper develops a novel econometric approach to estimate abnormal returns and systematic risk of private equity … systematic risk and abnormal returns. In addition, unlike previous studies that derive estimates based on the standard CAPM, the … investments documented is lower than found in previous studies that estimate a standard CAPM, which is consistent with the theory …

We examine risk-return trade-offs associated with “covlite” deals which lack systematic covenant compliance … requirements of traditional “covheavy” deals. We document demand-driven risk taking incentives in the primary markets where covlite … deal pricing has become increasingly borrower-friendly over time, particularly for high-leveraged low-credit-quality “high-risk …

Preqin and Pitchbook data are classified and analyzed to derive a coherent set of risk-return assumptions to combine … PD, PC detailed per subclass. Risk is decomposed in Class CoVariance, applicable from five positions upwards, and Single …, Class or Single, Sep2022 or low interest rates Sep2021. Adding PE and PD reduces LDI-risk very much and delivers …

returns are close to empirically observed average fund returns for moderately risk tolerant LPs with private equity … allocations up to 40%. Likewise, optimal portfolio allocations for these LPs are similar to those observed in practice. More risk …

This article analyzes the effect of liquidity risk on the performance of various hedge fund portfolio strategies …. Similarly to Avramov et al. (2007), we find that, before accounting for the effect of liquidity risk, hedge fund portfolios that … dramatically for six out of ten hedge fund style-based portfolios once we account for liquidity risk. Hence, for most hedge fund …

It is widely believed that stocks with high idiosyncratic risk exhibit stronger anomalies because arbitrageurs avoid … average more capital towards holding high idiosyncratic stocks than they do towards low idiosyncratic risk stocks. Contrary to … the prediction that diversification concerns prevent arbitrageurs from holding high idiosyncratic risk stocks, we find …

Standard risk metrics tend to underestimate the true risks of hedge funds because of serial correlation in the reported … normally and fat tailed distributed returns and show that adjustment is particularly relevant for downside risk measures in the … case of fat tails. A hedge fund case study reveals that the unadjusted risk measures considerably underestimate the true …

Standard risk metrics tend to underestimate the true risks of hedge funds because of serial correlation in the reported … risk measures in the case of fat tails. A hedge fund case study reveals that the unadjusted risk measures considerably …