Reference : A dynamic analysis of higher-comoment risk premiums in Hedge Fund returns

	Document type :	Scientific journals : Article
	Discipline(s) :	Business & economic sciences : Finance
	To cite this reference:	http://hdl.handle.net/2268/118426

Title :	A dynamic analysis of higher-comoment risk premiums in Hedge Fund returns
Language :	English
Author, co-author :	Lambert, Marie [Université de Liège - ULg > HEC-Ecole de gestion de l'ULg : UER > Analyse financière et finance d'entreprise >]
Publication date :	Feb-2012
Journal title :	Journal of Derivatives and Hedge Funds
Publisher :	Palgrave Macmillan
Volume :	18
Issue/season :	1
Pages :	73-84
Audience :	International
ISSN :	1753-9641
e-ISSN :	1753-965X
Keywords :	[en] higher moments ; emerging markets ; market regimes
Abstract :	[en] Hedge funds display a strong non-linear payoff structure because of the use of highly dynamic trading strategies. This article examines the relevance of using higherorder comoment equity risk premiums implied in the United States and the emerging markets for capturing these return non-linearities. We provide evidence that the higherorder comoment equity risk premiums help in explaining the returns of the different hedge fund strategies from the Hedge Fund Research classification. We perform a dynamic analysis where moment risk exposures are examined separately in up and down markets. We show that hedge fund styles tend to vary their exposures to moment risks according to the market regimes.
Funders :	FNR - Luxembourg
Target :	Researchers ; Professionals ; Students
Permalink :	http://hdl.handle.net/2268/118426

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