Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/113657
Authors: 
Agarwal, Vikas
Ruenzi, Stefan
Weigert, Florian
Year of Publication: 
2015
Series/Report no.: 
CFR Working Paper 15-07
Abstract: 
We develop a new tail risk measure for hedge funds to examine the impact of tail risk on fund performance and to identify the sources of tail risk. We find that tail risk affects the cross-sectional variation in fund returns, and investments in both, tailsensitive stocks as well as options, drive tail risk. Moreover, managerial incentives and discretion as well as exposure to funding liquidity shocks are important determinants of tail risk. We find evidence that is consistent with funds being able to time tail risk exposure prior to the recent financial crisis.
Subjects: 
Hedge Funds
Tail Risk
Portfolio Holdings
Funding Liquidity Risk
JEL: 
G11
G23
Document Type: 
Working Paper

Files in This Item:
File
Size





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.