Article (Scientific journals)
A dynamic analysis of higher-comoment risk premiums in Hedge Fund returns
Lambert, Marie
2012In Journal of Derivatives and Hedge Funds, 18 (1), p. 73-84
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Keywords :
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.
Disciplines :
Finance
Author, co-author :
Lambert, Marie ;  Université de Liège - ULiège > HEC-Ecole de gestion : UER > Analyse financière et finance d'entreprise
Language :
English
Title :
A dynamic analysis of higher-comoment risk premiums in Hedge Fund returns
Publication date :
February 2012
Journal title :
Journal of Derivatives and Hedge Funds
ISSN :
1753-9641
eISSN :
1753-965X
Publisher :
Palgrave Macmillan
Volume :
18
Issue :
1
Pages :
73-84
Peer reviewed :
Peer Reviewed verified by ORBi
Funders :
FNR - Fonds National de la Recherche [LU]
Available on ORBi :
since 29 April 2012

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