This paper focuses on an unexplored dimension of fund managers' timing ability: market-wide tail risk implied by information in options markets. We investigate whether hedge fund managers can strategically time market tail risk implied by options through adjusting their portfolios' market...

This paper examines the extent to which idiosyncratic risk measures explain cross-sectional differences in hedge fund returns. Using exponential GARCH models to estimate conditional idiosyncratic volatility, we find a significant positive relation between conditional idiosyncratic volatility...