This paper examines the extent to which idiosyncratic risk measures explain cross-sectional differences in hedge fund … momentum effects. Idiosyncratic risk is a powerful factor in explaining the cross-sectional variation in hedge fund returns …

set of fund characteristics, we document a robust and significant negative risk premium for VOV exposure in the cross … of hedge funds is distinct from that of mutual funds and is consistent with the dynamic trading of hedge funds and risk …

robust and significant negative risk premium for VOV exposure in the crosssection of hedge fund returns. We further show that … uncertainty in the market is less. Furthermore, the variation in the VOV betas is consistent with the risk-taking incentives of …

systematic risk is highly nonlinear in extreme scenarios-especially during the subprime crisis. We find that countercyclical …-traditional risk premia by deliberately increasing their systematic risk while the later focus more on minimizing risk. Our results … suggest that the hedge fund strategies' betas respond more to illiquidity uncertainty than to illiquidity risk during crises …

We develop a new tail risk measure for hedge funds to examine the impact of tail risk on fund performance and to … identify the sources of tail risk. We find that tail risk affects the cross-sectional variation in fund returns, and … investments in both, tailsensitive stocks as well as options, drive tail risk. Moreover, managerial incentives and discretion as …

We develop a new systematic tail risk measure for equity-oriented hedge funds to examine the impact of tail risk on … fund performance and to identify the sources of tail risk. We find that tail risk affects the cross-sectional variation in … fund returns, and investments in both, tail-sensitive stocks as well as options, drive tail risk. Moreover, leverage and …

study how these endogenous effects influence traditional measures of risk-adjusted performance. We show that structural …