Reference : Higher-Moment Risk Exposures in Hedge Funds
E-prints/Working papers : Already available on another site
Business & economic sciences : Finance
http://hdl.handle.net/2268/117570
Higher-Moment Risk Exposures in Hedge Funds
English
Lambert, Marie mailto [Université de Liège - ULg > HEC-Ecole de gestion de l'ULg : UER > Analyse financière et finance d'entreprise >]
Hübner, Georges mailto [Université de Liège - ULg > HEC-Ecole de gestion de l'ULg : UER > Gestion financière >]
Papageorgiou, Nicolas mailto [HEC-Montréal > > > >]
10-Sep-2012
No
[en] Hedge Funds ; Implied higher-moments ; conditioning factors
[en] The paper singles out the key roles of US equity skewness and kurtosis in the determination of the market premia embedded in Hedge Fund returns. We propose a conditional higher-moment asset pricing model with location, trading and higher-moment factors in order to describe the dynamics of the Equity Hedge (Market Neutral, Short Selling and Long/Short strategies), Event Driven, Relative Value, and Funds of Hedge Funds styles. The volatility, skewness and kurtosis implied in the US options markets are used by Hedge Fund managers as instruments to anticipate market movements. Managers should adjust their market exposure in response to variations in the implied higher moments. We show that higher-moment premia improve a conditional asset pricing model both in terms of explanatory power (R-squares and Schwarz criterion) and specification errors across all Hedge Fund styles.
FNR Luxembourg
Researchers ; Professionals ; Students
http://hdl.handle.net/2268/117570
http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2045781

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