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When there is no place to hide : correlation risk and the cross-section of hedge fund returns

Using a novel data set on correlation swaps, we study the relation between correlation risk, hedge fund characteristics, and their risk-return profile. We find that the ability of hedge funds to create market-neutral returns is often associated with a significant exposure to correlation risk, which helps to explain the large abnormal returns found in previous models. We also estimate a significant negative market price of correlation risk, which accounts for the cross-section of hedge fund excess returns. Finally, we detect a pronounced nonlinear relation between correlation risk exposure and the tail risk of hedge fund returns. .Printed Journal, baca ditempat

Ketersediaan

Call NumberLocationAvailable
TRFS2702PSB lt.dasar - Pascasarjana1
Penerbit The Society of Financial Studies.,
Edisi -
Subjek Pension funds
Event studies
Other private financial institutions
Information and market efficiency
ISBN/ISSN 8939454
Klasifikasi -
Deskripsi Fisik -
Info Detail Spesifik -
Other Version/Related Tidak tersedia versi lain
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