The impact of the global financial crisis since 2007 has been deep and broad, blanketing the financial and economic landscape and hammering the hedge fund industry. Using both active and inactive hedge fund return data from the CISDM database from January of 1994 to March of 2009, we measure...

We develop a new tail risk measure for hedge funds to examine the impact of tail risk on fund performance and to identify the sources of tail risk. We find that tail risk affects the cross-sectional variation in fund returns, and investments in both, tailsensitive stocks as well as options,...

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 incorporate predictability in managerial skills...

We examine the relative weights hedge fund investors attach to past information in the fund selection process. The weighting scheme appears inconsistent with econometric forecasting models that predict fund returns, alphas or Sharpe ratios. In particular, investor flows are highly sensitive to...

Hedge funds go beyond their statements on the transaction purpose in the beneficial ownership report Schedule 13 D by stating their activism objectives additionally in a letter to the CEO or board in more than one of ten activism events. Reactance theory indicates that the separate communication...

One can consider the concept of market neutrality as having quot;breadthquot; and quot;depthquot;: quot;Breadthquot; reflects the number of market risks to which the hedge fund is neutral, while quot;depthquot; reflects the quot;completenessquot; of the neutrality of the fund to market risks. We...

Hedge funds, on average, outperform other actively managed funds. However, hedge fund managers often use trading strategies that are not used by other managed portfolios, and thus they bear unique risks. In particular, many hedge funds use short selling. I construct an option-based measure of...

Institutions holding greater than $100 million in securities are required to disclose their holdings in US listed stocks to the Securities and Exchange Commission (SEC) no later than 45 days after the quarter-end, in a form known as 13F. We show that the "best ideas" of hedge funds produce...

Despite the exponential increase in the literature related to the performance of Alternative Investment Funds (AIFs), risk management with respect to the measurement of performance persistence remains largely unexplored. In this paper, we investigate the impact of geolocation and investment...

Do more active hedge fund managing strategies generate higher returns than the less active ones? We develop a novel approach to measuring activeness for hedge funds by estimating the dynamics of risk exposure of a large sample of live and dead equity long-short funds. We find that higher...