Do hedge funds time market tail risk? Evidence from option-implied tail risk
- 주제(키워드) fund performance , hedge funds , option-implied tail risk , tail risk timing
- 등재 SSCI, SCOPUS
- 발행기관 Wiley-Liss Inc.
- 발행년도 2019
- URI http://www.dcollection.net/handler/ewha/000000156316
- 본문언어 영어
- Published As http://dx.doi.org/10.1002/fut.21972
초록/요약
This paper focuses on an unexplored dimension of fund managers’ timing ability: Market-wide tail risk implied by information in options markets. Constructing the option-implied tail risk, we investigate whether hedge fund managers can strategically time the tail risk through adjusting their exposure to changes of it. Using an extensive sample of equity-oriented hedge funds, we find strong evidence of tail risk timing ability of hedge fund managers. Furthermore, tail risk timing ability brings significant economic value to investors. Top-ranked funds outperform bottom-ranked funds by 5–7% annually after adjusting for risk factors. Our results are robust to various robustness checks. © 2018 Wiley Periodicals, Inc.
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