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Do hedge funds’ exposures to risk factors predict their future returns?
(Elsevier, 2011-07)
This paper investigates hedge funds’ exposures to various financial and macroeconomic risk factors through alternative measures of factor betas and examines their performance in predicting the crosssectional variation in ...
Systematic risk and the cross section of hedge fund returns
(Elsevier, 2012-10)
This paper investigates the extent to which market risk, residual risk, and tail risk explain the cross-sectional dispersion in hedge fund returns. The paper introduces a comprehensive measure of systematic risk (SR) for ...
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