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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.issn0927-5398en_US
dc.identifier.doi10.1016/j.jempfin.2017.03.002en_US
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.en_US
dc.description.peerreviewedYesen_US
dc.languageEnglishen_US
dc.publisherElsevier BVen_US
dc.relation.ispartofpagefrom109en_US
dc.relation.ispartofpageto130en_US
dc.relation.ispartofjournalJournal of Empirical Financeen_US
dc.relation.ispartofvolume42en_US
dc.subject.fieldofresearchBanking, Finance and Investment not elsewhere classifieden_US
dc.subject.fieldofresearchcode150299en_US
dc.titleSystemic risk and cross-sectional hedge fund returnsen_US
dc.typeJournal articleen_US
dc.type.descriptionC1 - Peer Reviewed (HERDC)en_US
dc.type.codeC - Journal Articlesen_US
dcterms.licensehttp://creativecommons.org/licenses/by-nc-nd/4.0/en_US
dc.description.versionPost-printen_US
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.en_US
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