Dynamic Investment Opportunities and the Cross-Section of Hedge Fund Returns : Implications of Higher-Moment Risks for Performance

Dynamic Investment Opportunities and the Cross-Section of Hedge Fund Returns : Implications of Higher-Moment Risks for Performance

In this paper, we examine higher-moment market risks in the cross-section of hedge fund returns to make several contributions. First, we show that hedge funds are substantially exposed to the three highermoment risks - volatility, skewness, and kurtosis. In contrast, mutual funds do not display mean...

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Bibliographic Details
Main Authors: AGARWAL, Vikas, BAKSHI, Gurdip, HUIJ, Joop
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 2008
Subjects:
Volatility Risk
Skewness Risk
Kurtosis Risk
Higher Moments
Exposures
Hedge Funds
Alphas
Portfolio and Security Analysis
Online Access:https://ink.library.smu.edu.sg/bnp_research/5
https://ink.library.smu.edu.sg/cgi/viewcontent.cgi?article=1006&context=bnp_research
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Institution: Singapore Management University
Language: English

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https://ink.library.smu.edu.sg/bnp_research/5
https://ink.library.smu.edu.sg/cgi/viewcontent.cgi?article=1006&context=bnp_research

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