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- W2159859905 abstract "Using a novel dataset on correlation swaps, we study the relation between correlation risk, hedge fund characteristics and their risk-return profile. We find that hedge funds' ability 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." @default.
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- W2159859905 date "2012-01-01" @default.
- W2159859905 modified "2023-09-27" @default.
- W2159859905 title "When There is No Place to Hide - Correlation Risk and the Cross-Section of Hedge Fund Returns" @default.
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- W2159859905 doi "https://doi.org/10.2139/ssrn.1639984" @default.
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