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 …

This paper investigates the extent to which market risk, residual risk, and tail risk explain the cross sectional … dispersion in hedge fund returns. The paper introduces a comprehensive measure of systematic risk (SR) for individual hedge funds … by breaking up total risk into systematic and fund specific or residual risk components. Contrary to the popular …

This paper investigates the extent to which market risk, residual risk, and tail risk explain the cross sectional … dispersion in hedge fund returns. The paper introduces a comprehensive measure of systematic risk (SR) for individual hedge funds … by breaking up total risk into systematic and fund specific or residual risk components. Contrary to the popular …

This paper investigates hedge funds' exposures to various financial and macroeconomic risk factors through alternative …

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 …

funds with low MSI betas. This result is robust to controlling other risk and uncertainty measures, and to orthogonalizing … therefore a valid risk factor in the ICAPM …

This paper investigates the extent to which market risk, residual risk, and tail risk explain the cross sectional … dispersion in hedge fund returns. The paper introduces a comprehensive measure of systematic risk (SR) for individual hedge funds … by breaking up total risk into systematic and fund specific or residual risk components. Contrary to the popular …

This paper mainly focuses on the correlation between live hedge funds return and their value at risk (VaR), which is …

risk. In addition, the published literature documents that compensation for liquidity and credit risk in municipal bonds …, if any, additional risk. In this article we explain what the strategy really was, why it was not an arbitrage, and why it …, and on liquidity and credit risk. Those risks are priced into municipal securities and since the hedge funds' had …