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- W2889617908 abstract "We investigate how macroeconomic and financial uncertainty impacts the behavior of hedge fund strategy higher moments—i.e., co-skewness and co-kurtosis—and their respective cross-sectional dispersions. Consistent with theoretical models, we find that strategy managers trade off these two higher moments when building optimal portfolios. Moreover, these trade-offs depend on the kind of strategy. Our experiments show that the VIX and its conditional variance are the most important factors affecting higher moment risk in the hedge fund industry. They also reveal that the behavior of hedge fund strategies is very asymmetric depending on the phase of the business cycle. In contrast to studies which rely on the mean-variance setting, we find that systemic risk—as measured by the cross-sectional dispersions of higher moments—tends to decrease in the low regime. The indicators of market volatility play a decisive role to explain this decline in systemic risk." @default.
- W2889617908 created "2018-09-27" @default.
- W2889617908 creator A5051264278 @default.
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- W2889617908 date "2019-05-01" @default.
- W2889617908 modified "2023-10-17" @default.
- W2889617908 title "Hedge fund return higher moments over the business cycle" @default.
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- W2889617908 doi "https://doi.org/10.1016/j.econmod.2018.08.016" @default.
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