The economics and finance of hedge funds: A review of the academic literature
V Agarwal, KA Mullally, NY Naik - Foundations and Trends® …, 2015 - nowpublishers.com
Hedge funds have become increasingly important players in financial markets. This
heightened importance has spawned a large academic literature focused on issues …
heightened importance has spawned a large academic literature focused on issues …
[HTML][HTML] Unconventional monetary policy and disaster risk: Evidence from the subprime and COVID–19 crises
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 …
subprime and COVID–19 crises with respect to their effectiveness in reducing disaster risk …
Hedge funds: A dynamic industry in transition
M Getmansky, PA Lee, AW Lo - Annual Review of Financial …, 2015 - annualreviews.org
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 …
unique investment opportunities that often reflect more complex risk exposures than those of …
Tail risk in hedge funds: A unique view from portfolio holdings
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 …
the impact of tail risk on fund performance and to identify the sources of tail risk. We find that …
Fiscal deficits, bank credit risk, and loan-loss provisions
FBG Silva - Journal of Financial and Quantitative Analysis, 2021 - cambridge.org
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 …
governments' ability to curb banks' losses in bad states, either with direct cash infusions or …
Tail risk concerns everywhere
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 …
which we construct using out-of-the-money options on multiple global assets, negatively …
Higher-moment risk
NJ Gormsen, CS Jensen - Available at SSRN 3069617, 2022 - papers.ssrn.com
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 …
covering 17 countries, returns are more left-skewed and fat tailed during good times than …
Option-Implied Idiosyncratic Skewness and Expected Returns: Mind the Long Run
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 …
idiosyncratic skewness (Skew) for the aggregate stock market. We find that Skew is a strong …
A market-based funding liquidity measure
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 …
extract the measure as the return spread between two beta-neutral portfolios constructed …
Unsmoothing returns of illiquid funds
Funds that invest in illiquid assets report returns with spurious autocorrelation.
Consequently, investors need to unsmooth returns when evaluating the risk exposures of …
Consequently, investors need to unsmooth returns when evaluating the risk exposures of …