Hedge funds are fundamentally exposed to equity volatility, skewness, and kurtosis risks based on the systematic pattern and significant spread in alphas from the existing models that do not control for the higher-moment risks. The spread and pattern in alphas do not disappear with bootstrap...

Hedge funds are fundamentally exposed to equity volatility, skewness, and kurtosis risks based on the systematic pattern and significant spread in alphas from the existing models that do not control for the higher-moment risks. The spread and pattern in alphas do not disappear with bootstrap...

Hedge funds are fundamentally exposed to equity volatility, skewness, and kurtosis risks based on the systematic pattern and significant spread in alphas from the existing models that do not control for the higher-moment risks. The spread and pattern in alphas do not disappear with bootstrap...

Hedge funds are fundamentally exposed to equity volatility, skewness, and kurtosis risks based on the systematic pattern and significant spread in alphas from the existing models that do not control for the higher-moment risks. The spread and pattern in alphas do not disappear with bootstrap...

We examine the role of hedge funds as primary lenders to corporate firms. We investigate boththe reasons and the implications of hedge funds’ activities in the primary loan market. Weexamine the characteristics of firms that borrow from hedge funds and find that borrowers areprimarily firms...

In this paper, we identify and document the empirical characteristics of the key drivers ofconvertible arbitrage as a strategy and how they impact the performance of convertible arbitragehedge funds. We show that the returns of a buy-and-hedge strategy involving taking a longposition in...

We examine the determinants and consequences of changes in hedge fund fee structures.We show that fee changes are asymmetric with much greater incidence of fee increasescompared to fee decreases. We find that managers of younger and smaller funds are morelikely to increase fees after good...

This paper introduces two measures to investigate potential window-dressing behavior amongmutual fund managers. We show that unskilled managers that perform poorly are more likely towindow dress by strategically purchasing winner stocks and selling loser stocks near quarterends. Further, funds...

This paper studies the “confidential holdings” of institutional investors, especially hedge funds, where thequarter-end equity holdings are disclosed with a significant delay through amendments to the Form 13F.Our evidence supports hiding private information as the dominant motive for hedge...

This paper is a first study to formally analyze the biases related to self-reporting in the hedgefunds databases by matching the quarterly equity holdings of a complete list of 13F-filing hedge fundcompanies to the union of five major commercial databases of self-reporting hedge funds between...