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hal.structure.identifier
dc.contributor.authorAgarwal, Vikas*
hal.structure.identifierDauphine Recherches en Management [DRM]
dc.contributor.authorArisoy, Eser*
hal.structure.identifier
dc.contributor.authorNaik, Narayan Y.*
dc.date.accessioned2016-12-01T14:13:35Z
dc.date.available2016-12-01T14:13:35Z
dc.date.issued2015
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/16021
dc.language.isoenen
dc.subjectUncertaintyen
dc.subjectVolatility of volatilityen
dc.subjectHedge fundsen
dc.subjectPerformanceen
dc.subject.ddc657en
dc.subject.classificationjelG.G1.G10en
dc.subject.classificationjelC.C1.C13en
dc.subject.classificationjelG.G1.G11en
dc.subject.classificationjelM.M4.M41en
dc.titleVolatility of Aggregate Volatility and Hedge Fund Returnsen
dc.typeCommunication / Conférence
dc.description.abstractenThis paper investigates empirically whether uncertainty about volatility of the market portfolio can explain the performance of hedge funds both in the cross-section and over time. We measure uncertainty about volatility of the market portfolio via volatility of aggregate volatility (VOV) and construct an investable version of this measure by computing monthly returns on lookback straddles on the VIX index. We find that VOV exposure is a significant determinant of hedge fund returns at the overall index level, at different strategy levels, and at an individual fund level. After controlling for a large set of fund characteristics, we document a robust and significant negative risk premium for VOV exposure in the cross-section of hedge fund returns. We further show that strategies with less negative VOV betas outperform their counterparts during the financial crisis period when uncertainty was at its highest. On the contrary, strategies with more negative VOV betas generate superior returns when uncertainty in the market is less. Finally, we demonstrate that VOV exposure-return relationship of hedge funds is distinct from that of mutual funds and is consistent with the dynamic trading of hedge funds and risk-taking incentives arising from performance-based compensation of hedge funds.en
dc.identifier.citationpages64en
dc.subject.ddclabelContrôle de gestion Comptabilitéen
dc.relation.conftitle5th International Conference of the Financial Engineering and Banking Society (FEBS 2015)en
dc.relation.confdate2015-06
dc.relation.confcityNantesen
dc.relation.confcountryFranceen
dc.relation.forthcomingnonen
dc.identifier.doi10.2139/ssrn.2502352en
dc.description.ssrncandidatenonen
dc.description.halcandidateouien
dc.description.readershiprechercheen
dc.description.audienceInternationalen
dc.relation.Isversionofjnlpeerreviewednonen
dc.relation.Isversionofjnlpeerreviewednonen
dc.date.updated2016-10-24T13:20:51Z
hal.identifierhal-01412976*
hal.version1*
hal.update.actionupdateMetadata*
hal.author.functionaut
hal.author.functionaut
hal.author.functionaut


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