DC Field | Value | Language |
---|---|---|
dc.contributor.author | Shin, Jung-Soon | ko |
dc.contributor.author | Kim, Minki | ko |
dc.contributor.author | Oh, Dongjun | ko |
dc.contributor.author | Kim, Tong Suk | ko |
dc.date.accessioned | 2019-02-20T04:50:47Z | - |
dc.date.available | 2019-02-20T04:50:47Z | - |
dc.date.created | 2019-01-28 | - |
dc.date.created | 2019-01-28 | - |
dc.date.issued | 2019-02 | - |
dc.identifier.citation | JOURNAL OF FUTURES MARKETS, v.39, no.2, pp.205 - 237 | - |
dc.identifier.issn | 0270-7314 | - |
dc.identifier.uri | http://hdl.handle.net/10203/250192 | - |
dc.description.abstract | 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. | - |
dc.language | English | - |
dc.publisher | WILEY | - |
dc.title | Do hedge funds time market tail risk? Evidence from option-implied tail risk | - |
dc.type | Article | - |
dc.identifier.wosid | 000455132300005 | - |
dc.identifier.scopusid | 2-s2.0-85056138533 | - |
dc.type.rims | ART | - |
dc.citation.volume | 39 | - |
dc.citation.issue | 2 | - |
dc.citation.beginningpage | 205 | - |
dc.citation.endingpage | 237 | - |
dc.citation.publicationname | JOURNAL OF FUTURES MARKETS | - |
dc.identifier.doi | 10.1002/fut.21972 | - |
dc.contributor.localauthor | Kim, Tong Suk | - |
dc.contributor.nonIdAuthor | Shin, Jung-Soon | - |
dc.contributor.nonIdAuthor | Oh, Dongjun | - |
dc.description.isOpenAccess | N | - |
dc.type.journalArticle | Article; Proceedings Paper | - |
dc.subject.keywordAuthor | option-implied tail risk | - |
dc.subject.keywordAuthor | hedge funds | - |
dc.subject.keywordAuthor | tail risk timing | - |
dc.subject.keywordAuthor | fund performance | - |
dc.subject.keywordPlus | MUTUAL FUNDS | - |
dc.subject.keywordPlus | INVESTMENT PERFORMANCE | - |
dc.subject.keywordPlus | TIMING ABILITY | - |
dc.subject.keywordPlus | CROSS-SECTION | - |
dc.subject.keywordPlus | VOLATILITY | - |
dc.subject.keywordPlus | RETURN | - |
dc.subject.keywordPlus | EQUILIBRIUM | - |
dc.subject.keywordPlus | STRATEGIES | - |
dc.subject.keywordPlus | SKEWNESS | - |
dc.subject.keywordPlus | STOCKS | - |
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