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dc.contributor.authorHwang, Inchang
dc.contributor.authorXu, Simon
dc.contributor.authorIn, Francis
dc.contributor.authorKim, Tong Suk
dc.date.accessioned2017-06-15T22:55:28Z
dc.date.available2017-06-15T22:55:28Z
dc.date.issued2017
dc.identifier.issn0927-5398
dc.identifier.doi10.1016/j.jempfin.2017.03.002
dc.identifier.urihttp://hdl.handle.net/10072/339927
dc.description.abstractThis paper examines the cross-sectional relation between hedge fund returns and systemic risk. Measuring the systemic risk of an individual hedge fund by using the marginal expected shortfall (MES), we find evidence for a positive and statistically significant relation between systemic risk and hedge fund returns. The risk-adjusted return of a hedge fund portfolio with a high systemic risk is 0.64% per month higher than for one with a low systemic risk during 1994–2012, while negative performance is observed during crisis periods. The relation between systemic risk and hedge fund returns holds for both live and defunct funds. Moreover, the relation holds even after controlling for a large set of fund characteristics. Hence, systemic risk is a powerful determinant of cross-sectional variations in hedge fund returns. Our results imply that the positive relation between hedge fund returns and systemic risk is due to compensation for the realized losses during systemic events.
dc.description.peerreviewedYes
dc.languageEnglish
dc.language.isoeng
dc.publisherElsevier
dc.relation.ispartofpagefrom109
dc.relation.ispartofpageto130
dc.relation.ispartofjournalJournal of Empirical Finance
dc.relation.ispartofvolume42
dc.subject.fieldofresearchBanking, Finance and Investment not elsewhere classified
dc.subject.fieldofresearchApplied Economics
dc.subject.fieldofresearchEconometrics
dc.subject.fieldofresearchBanking, Finance and Investment
dc.subject.fieldofresearchcode150299
dc.subject.fieldofresearchcode1402
dc.subject.fieldofresearchcode1403
dc.subject.fieldofresearchcode1502
dc.titleSystemic risk and cross-sectional hedge fund returns
dc.typeJournal article
dc.type.descriptionC1 - Articles
dc.type.codeC - Journal Articles
dcterms.licensehttp://creativecommons.org/licenses/by-nc-nd/4.0/
dc.description.versionAccepted Manuscript (AM)
gro.rights.copyright© 2017 Elsevier. Licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International (http://creativecommons.org/licenses/by-nc-nd/4.0/) which permits unrestricted, non-commercial use, distribution and reproduction in any medium, providing that the work is properly cited.
gro.hasfulltextFull Text
gro.griffith.authorIn, Francis H.


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