Systematic risk and the cross section of hedge fund returns

Name: Systematic risk and the cross section of hedge fund returns
Author: Bali, T. G., Brown, S. J., Çağlayan, Mustafa Onur

İsim	Systematic risk and the cross section of hedge fund returns
Yazar	Bali, T. G., Brown, S. J., Çağlayan, Mustafa Onur
Basım Tarihi:	2012-10
Basım Yeri	- Elsevier
Konu	Hedge funds, Systematic risk, Residual risk, Return predictability
Tür	Süreli Yayın
Dil	İngilizce
Dijital	Evet
Yazma	Hayır
Kütüphane:	Özyeğin Üniversitesi
Demirbaş Numarası	0304-405X
Kayıt Numarası	dcb4b729-f6d7-421a-9073-8d695dfd02e6
Lokasyon	Economics
Tarih	2012-10
Örnek Metin	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 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.
DOI	10.1016/j.jfineco.2012.05.005
Cilt	106

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Systematic risk and the cross section of hedge fund returns

Yazar Bali, T. G., Brown, S. J., Çağlayan, Mustafa Onur

Basım Tarihi 2012-10

Basım Yeri - Elsevier

Konu Hedge funds, Systematic risk, Residual risk, Return predictability

Tür Süreli Yayın

Dil İngilizce

Dijital Evet

Yazma Hayır

Kütüphane Özyeğin Üniversitesi

Demirbaş Numarası 0304-405X

Kayıt Numarası dcb4b729-f6d7-421a-9073-8d695dfd02e6

Lokasyon Economics

Tarih 2012-10

Örnek Metin 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 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.

DOI 10.1016/j.jfineco.2012.05.005

Cilt 106