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- W2785280999 abstract "Using out-of-the-money put options on indices of various economic sectors, we develop a rare disaster index (RIX) to quantify ex ante market expectations on future rare disasters (rare disaster concerns). In the cross-section, we measure the aggressiveness of hedge funds exploiting market rare disaster concerns. During normal market times, hedge funds that more aggressively exploit such concerns and supply rare disaster insurance earn higher returns on average. A novel …nding is that during stressful market times, when rare disaster concerns over longer horizons escalate, a subset of hedge funds that are able to supply long-term rare disaster insurance continues to make large pro…ts." @default.
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- W2785280999 date "2011-01-01" @default.
- W2785280999 modified "2023-09-23" @default.
- W2785280999 title "Do Hedge Funds Exploit Rare Disaster Concerns" @default.
- W2785280999 hasPublicationYear "2011" @default.
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