Matches in SemOpenAlex for { <https://semopenalex.org/work/W2123374189> ?p ?o ?g. }
Showing items 1 to 98 of
98
with 100 items per page.
- W2123374189 abstract "We document large, persistent exposures of hedge funds to downside tail risk. For instance, the hardest hit hedge funds in the 1998 crisis also suered predictably worse returns than their peers in 2007{2008. Using the conditional tail risk factor derived by Kelly (2012), we nd that tail risk is a key driver of hedge fund returns in both the time-series and cross-section. A positive one standard deviation shock to tail risk is associated with a contemporaneous decline of 2.88% per year in the value of the aggregate hedge fund portfolio. In the cross-section, funds that lose value during high tail risk episodes earn average annual returns more than 6% higher than funds that are tail risk-hedged, controlling for commonly used hedge fund factors. These results are consistent with the notion that a signicant component of hedge fund returns can be viewed as compensation for selling disaster insurance." @default.
- W2123374189 created "2016-06-24" @default.
- W2123374189 date "2012-01-01" @default.
- W2123374189 modified "2023-10-17" @default.
- W2123374189 title "Tail Risk and Hedge Fund Returns" @default.
- W2123374189 cites W1525043471 @default.
- W2123374189 cites W2027063727 @default.
- W2123374189 cites W2039352825 @default.
- W2123374189 cites W2048649579 @default.
- W2123374189 cites W2098996963 @default.
- W2123374189 cites W2101434526 @default.
- W2123374189 cites W2105177794 @default.
- W2123374189 cites W2106986439 @default.
- W2123374189 cites W2114859981 @default.
- W2123374189 cites W2118320195 @default.
- W2123374189 cites W2125520394 @default.
- W2123374189 cites W2131591615 @default.
- W2123374189 cites W2136120210 @default.
- W2123374189 cites W2136750963 @default.
- W2123374189 cites W2141185104 @default.
- W2123374189 cites W2147981167 @default.
- W2123374189 cites W2155388289 @default.
- W2123374189 cites W2158512712 @default.
- W2123374189 cites W2159859905 @default.
- W2123374189 cites W2163980978 @default.
- W2123374189 cites W2240968826 @default.
- W2123374189 cites W2553992319 @default.
- W2123374189 cites W2739513015 @default.
- W2123374189 cites W3021190191 @default.
- W2123374189 cites W3121239128 @default.
- W2123374189 cites W3121302379 @default.
- W2123374189 cites W3122573348 @default.
- W2123374189 cites W3122586700 @default.
- W2123374189 cites W3122833861 @default.
- W2123374189 cites W3122840957 @default.
- W2123374189 cites W3123279838 @default.
- W2123374189 cites W3123451865 @default.
- W2123374189 cites W3123722107 @default.
- W2123374189 cites W3123884320 @default.
- W2123374189 cites W3124197837 @default.
- W2123374189 cites W3124648789 @default.
- W2123374189 cites W3124789409 @default.
- W2123374189 cites W3124792793 @default.
- W2123374189 cites W3125250206 @default.
- W2123374189 doi "https://doi.org/10.2139/ssrn.2019482" @default.
- W2123374189 hasPublicationYear "2012" @default.
- W2123374189 type Work @default.
- W2123374189 sameAs 2123374189 @default.
- W2123374189 citedByCount "12" @default.
- W2123374189 countsByYear W21233741892012 @default.
- W2123374189 countsByYear W21233741892013 @default.
- W2123374189 countsByYear W21233741892014 @default.
- W2123374189 countsByYear W21233741892015 @default.
- W2123374189 countsByYear W21233741892017 @default.
- W2123374189 crossrefType "journal-article" @default.
- W2123374189 hasBestOaLocation W21233741892 @default.
- W2123374189 hasConcept C10138342 @default.
- W2123374189 hasConcept C106159729 @default.
- W2123374189 hasConcept C144133560 @default.
- W2123374189 hasConcept C155301685 @default.
- W2123374189 hasConcept C162324750 @default.
- W2123374189 hasConcept C18123600 @default.
- W2123374189 hasConcept C204434749 @default.
- W2123374189 hasConcept C206757995 @default.
- W2123374189 hasConcept C2776734221 @default.
- W2123374189 hasConcept C39389867 @default.
- W2123374189 hasConcept C40331085 @default.
- W2123374189 hasConcept C73283319 @default.
- W2123374189 hasConceptScore W2123374189C10138342 @default.
- W2123374189 hasConceptScore W2123374189C106159729 @default.
- W2123374189 hasConceptScore W2123374189C144133560 @default.
- W2123374189 hasConceptScore W2123374189C155301685 @default.
- W2123374189 hasConceptScore W2123374189C162324750 @default.
- W2123374189 hasConceptScore W2123374189C18123600 @default.
- W2123374189 hasConceptScore W2123374189C204434749 @default.
- W2123374189 hasConceptScore W2123374189C206757995 @default.
- W2123374189 hasConceptScore W2123374189C2776734221 @default.
- W2123374189 hasConceptScore W2123374189C39389867 @default.
- W2123374189 hasConceptScore W2123374189C40331085 @default.
- W2123374189 hasConceptScore W2123374189C73283319 @default.
- W2123374189 hasLocation W21233741891 @default.
- W2123374189 hasLocation W21233741892 @default.
- W2123374189 hasOpenAccess W2123374189 @default.
- W2123374189 hasPrimaryLocation W21233741891 @default.
- W2123374189 hasRelatedWork W1964799061 @default.
- W2123374189 hasRelatedWork W2005361699 @default.
- W2123374189 hasRelatedWork W2123374189 @default.
- W2123374189 hasRelatedWork W2149096790 @default.
- W2123374189 hasRelatedWork W2254928809 @default.
- W2123374189 hasRelatedWork W2263564365 @default.
- W2123374189 hasRelatedWork W2950114169 @default.
- W2123374189 hasRelatedWork W3125043926 @default.
- W2123374189 hasRelatedWork W4205615794 @default.
- W2123374189 hasRelatedWork W4293250387 @default.
- W2123374189 isParatext "false" @default.
- W2123374189 isRetracted "false" @default.
- W2123374189 magId "2123374189" @default.
- W2123374189 workType "article" @default.