Arbeitspapier
Tail risk in hedge funds: A unique view from portfolio holdings
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, tailsensitive 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.
- Sprache
-
Englisch
- Erschienen in
-
Series: CFR Working Paper ; No. 15-07
- Klassifikation
-
Wirtschaft
Portfolio Choice; Investment Decisions
Pension Funds; Non-bank Financial Institutions; Financial Instruments; Institutional Investors
- Thema
-
Hedge Funds
Tail Risk
Portfolio Holdings
Funding Liquidity Risk
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Agarwal, Vikas
Ruenzi, Stefan
Weigert, Florian
- Ereignis
-
Veröffentlichung
- (wer)
-
University of Cologne, Centre for Financial Research (CFR)
- (wo)
-
Cologne
- (wann)
-
2015
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:44 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Agarwal, Vikas
- Ruenzi, Stefan
- Weigert, Florian
- University of Cologne, Centre for Financial Research (CFR)
Entstanden
- 2015
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