Agarwal, Vikas; Arisoy, Yakup Eser; Naik, Narayan Y. - 2015 - This version: January 31, 2015
the performance of hedge funds both in the cross-section and over time. We measure uncertainty via volatility of aggregate …This paper investigates empirically whether uncertainty about the expected returns on the market portfolio can explain …, at different strategy levels, and at an individual fund level. We find that funds with low (more negative) VOV betas …