The Cost of Capital for Alternative Investments

• 成果类型: Article
• 署名作者: Jurek, Jakub W.; Stafford, Erik
• 署名单位: Princeton University; National Bureau of Economic Research; Harvard University
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/jofi.12269
• 发表日期: 2015
• 页码: 2185-2226
• 关键词: market equilibrium; Hedge funds; RISK; disasters; selection; returns; MODEL

摘要

Traditional risk factor models indicate that hedge funds capture pre-fee alphas of 6% to 10% per annum over the period from 1996 to 2012. At the same time, the hedge fund return series is not reliably distinguishable from the returns of mechanical S&P 500 put-writing strategies. We show that the high excess returns to hedge funds and put-writing are consistent with an equilibrium in which a small subset of investors specialize in bearing downside market risks. Required rates of return in such an equilibrium can dramatically exceed those suggested by traditional models, affecting inference about the attractiveness of these investments.