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dc.contributor.authorBali, T. G.
dc.contributor.authorBrown, S. J.
dc.contributor.authorÇağlayan, Mustafa Onur
dc.date.accessioned2014-07-10T13:51:42Z
dc.date.available2014-07-10T13:51:42Z
dc.date.issued2012-10
dc.identifier.issn0304-405X
dc.identifier.urihttp://hdl.handle.net/10679/487
dc.identifier.urihttp://www.sciencedirect.com/science/article/pii/S0304405X12000761
dc.description.abstractThis 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 individual hedge funds by breaking up total risk into systematic and fund-specific or residual risk components. Contrary to the popular understanding that hedge funds are market neutral, we find that systematic risk is a highly significant factor explaining the dispersion of cross-sectional returns while at the same time measures of residual risk and tail risk seem to have little explanatory power. Funds in the highest SR quintile generate 6% more average annual returns compared with funds in the lowest SR quintile. After controlling for a large set of fund characteristics and risk factors, systematic risk remains positive and highly significant, whereas the relation between residual risk and future fund returns continues to be insignificant. Hence, systematic risk is a powerful determinant of the cross-sectional differences in hedge fund returns.en_US
dc.language.isoengen_US
dc.publisherElsevieren_US
dc.relation.ispartofJournal of Financial Economics
dc.rightsrestrictedAccess
dc.titleSystematic risk and the cross section of hedge fund returnsen_US
dc.typeArticleen_US
dc.peerreviewedyesen_US
dc.publicationstatuspublisheden_US
dc.contributor.departmentÖzyeğin University
dc.contributor.authorID21940
dc.contributor.ozuauthorÇağlayan, Mustafa Onur
dc.identifier.volume106
dc.identifier.issue1
dc.identifier.startpage114
dc.identifier.endpage131
dc.identifier.wosWOS:000308274500006
dc.identifier.doi10.1016/j.jfineco.2012.05.005
dc.subject.keywordsHedge fundsen_US
dc.subject.keywordsSystematic risken_US
dc.subject.keywordsResidual risken_US
dc.subject.keywordsReturn predictabilityen_US
dc.identifier.scopusSCOPUS:2-s2.0-84864964155
dc.contributor.authorGenderMale


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