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 …