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- W3122093417 abstract "We develop a new tail risk measure for hedge funds to examine the impact of tail risk on fund performance and to identify the sources of tail risk. We find that tail risk affects the cross-sectional variation in fund returns, and investments in both, tail-sensitive stocks as well as options, drive tail risk. Moreover, managerial incentives and discretion as well as exposure to funding liquidity shocks are important determinants of tail risk. We find evidence that is consistent with funds being able to time tail risk exposure prior to the recent financial crisis." @default.
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- W3122093417 date "2017-09-01" @default.
- W3122093417 modified "2023-10-04" @default.
- W3122093417 title "Tail risk in hedge funds: A unique view from portfolio holdings" @default.
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- W3122093417 doi "https://doi.org/10.1016/j.jfineco.2017.06.006" @default.
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