Hedge funds have become increasingly important players in financial markets. This
heightened importance has spawned a large academic literature focused on issues …

We contrast the interventions conducted by the Federal Reserve in response to the
subprime and COVID–19 crises with respect to their effectiveness in reducing disaster risk …

The hedge-fund industry has grown rapidly over the past two decades, offering investors
unique investment opportunities that often reflect more complex risk exposures than those of …

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 …

Fiscal deficits represent an important variable for banks' aggregate credit risk, revealing
governments' ability to curb banks' losses in bad states, either with direct cash infusions or …

We show that the beta with respect to an index of global ex ante tail risk concerns (𝔾ℝ𝕀𝕏),
which we construct using out-of-the-money options on multiple global assets, negatively …

We study time-variation in the shape of the distribution of stock returns. In a global sample
covering 17 countries, returns are more left-skewed and fat tailed during good times than …

This article examines the time-series predictive ability of the monthly option-implied
idiosyncratic skewness (Skew) for the aggregate stock market. We find that Skew is a strong …

We construct a traded funding liquidity measure from stock returns. Guided by a model, we
extract the measure as the return spread between two beta-neutral portfolios constructed …

Funds that invest in illiquid assets report returns with spurious autocorrelation.
Consequently, investors need to unsmooth returns when evaluating the risk exposures of …