This article analyzes the effect of liquidity risk on the performance of various hedge fund portfolio strategies …. Similarly to Avramov et al. (2007), we find that, before accounting for the effect of liquidity risk, hedge fund portfolios that … dramatically for six out of ten hedge fund style-based portfolios once we account for liquidity risk. Hence, for most hedge fund …

It is widely believed that stocks with high idiosyncratic risk exhibit stronger anomalies because arbitrageurs avoid … average more capital towards holding high idiosyncratic stocks than they do towards low idiosyncratic risk stocks. Contrary to … the prediction that diversification concerns prevent arbitrageurs from holding high idiosyncratic risk stocks, we find …

Standard risk metrics tend to underestimate the true risks of hedge funds because of serial correlation in the reported … normally and fat tailed distributed returns and show that adjustment is particularly relevant for downside risk measures in the … case of fat tails. A hedge fund case study reveals that the unadjusted risk measures considerably underestimate the true …

I solve the life-cycle portfolio allocation problem of a disappointment averse (DA) agent with labor income risk. DA … unlike constant relative risk aversion (CRRA) investors, DA investors drastically cut their allocation to stocks when they …

Standard risk metrics tend to underestimate the true risks of hedge funds because of serial correlation in the reported … risk measures in the case of fat tails. A hedge fund case study reveals that the unadjusted risk measures considerably …

load fee this is in line with recent theory arguing that complementarities are mitigated by the involvement of large …

the notion that T-bills and other cash proxies, such as money market funds and bank deposits, are the lowest-risk assets …

's willingness and ability to make its upcoming CoCo coupon payments. Expected cash flow models capture changes in CoCo default risk …

government risk facing investors in medical innovation. This risk slows down medical innovation because investors must be …&D investors to better share the pipeline risk associated with FDA approval with broader capital markets. Using historical FDA … from offering them. Using various unique data sources, we find that FDA approval risk has a low correlation across drug …