Tail risk in hedge funds: A unique view from portfolio holdings

• 成果类型: Article
• 署名作者: Agarwal, Vikas; Ruenzi, Stefan; Weigert, Florian
• 署名单位: University System of Georgia; Georgia State University; University of Mannheim; University of St Gallen
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2017.06.006
• 发表日期: 2017
• 页码: 610-636
• 关键词: HEDGE FUNDS; Tail risk; Portfolio holdings; Funding liquidity risk; leverage

摘要

We develop a new systematic tail risk measure for equity-oriented 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 that investments in both tail-sensitive stocks and options drive tail risk. Moreover, leverage and exposure to funding liquidity shocks are important determinants of tail risk. We find evidence of some funds being able to time tail risk exposure prior to the 2008-2009 financial crisis. (c) 2017 Elsevier B.V. All rights reserved.