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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| Main Authors: | , , |
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| Format: | text |
| Language: | English |
| Published: |
Institutional Knowledge at Singapore Management University
2008
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| Subjects: | |
| 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 |