When There Is No Place to Hide: Correlation Risk and the Cross-Section of Hedge Fund Returns-Reference-Cited by-同舟云学术

When There Is No Place to Hide: Correlation Risk and the Cross-Section of Hedge Fund Returns

Published:2013-12-17 Issue:2 Volume:27 Page:581-616
ISSN:0893-9454
Container-title:Review of Financial Studies
language:en
Short-container-title:Rev. Financ. Stud.

Author:

Buraschi Andrea,Kosowski Robert,Trojani Fabio

Publisher

Oxford University Press (OUP)

Subject

Economics and Econometrics,Finance,Accounting

Link

http://academic.oup.com/rfs/article-pdf/27/2/581/5474380/hht070.pdf

Reference45 articles.

1. Agarwal V. Bakshi G. Huij J. 2008. Dynamic investment opportunities and the cross-section of hedge fund returns: Implications of higher-moment risks for performance. Working Paper, RHS-06-066.

2. Risks and Portfolio Decisions Involving Hedge Funds

3. Share restrictions and asset pricing: Evidence from the hedge fund industry☆

4. Volatility risk premiums embedded in individual equity options: Some new insights;Bakshi;Journal of Derivatives,2009

5. Stock Return Characteristics, Skew Laws, and the Differential Pricing of Individual Equity Options

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