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dc.contributor.authorAgarwal, Vikas*
dc.contributor.authorArisoy, Eser*
dc.contributor.authorNaik, Narayan Y.*
dc.date.accessioned2017-03-14T14:49:29Z
dc.date.available2017-03-14T14:49:29Z
dc.date.issued2017
dc.identifier.issn0304-405X
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/16342
dc.language.isoenen
dc.subjectUncertainty
dc.subjectvolatility of volatility
dc.subjecthedge funds
dc.subjectperformance
dc.subject.classificationjelG.G1.G10en
dc.subject.classificationjelG.G1.G11en
dc.subject.classificationjelC.C1.C13en
dc.titleVolatility of Aggregate Volatility and Hedge Fund Returns
dc.typeArticle accepté pour publication ou publié
dc.contributor.editoruniversityotherGeorgia State University
dc.contributor.editoruniversityotherLondon Business School
dc.description.abstractenThis paper investigates empirically whether uncertainty about equity market volatility can explain hedge fund performance both in the cross section and over time. We measure uncertainty via volatility of aggregate volatility (VOV) and construct an investable version through returns on lookback straddles on the VIX index. We find that VOV exposure is a significant determinant of hedge fund returns. After controlling for fund characteristics, we document a robust and significant negative risk premium for VOV exposure in the cross section of hedge fund returns. We corroborate our results using statistical and parameterized proxies of VOV over a longer sample period.
dc.relation.isversionofjnlnameJournal of Financial Economics
dc.relation.isversionofjnlvol125
dc.relation.isversionofjnlissue3
dc.relation.isversionofjnldate2017
dc.relation.isversionofjnlpages491-510
dc.relation.isversionofdoi10.1016/j.jfineco.2017.06.015
dc.identifier.urlsitehttp://dx.doi.org/10.2139/ssrn.2502352
dc.contributor.countryeditoruniversityotherUNITED STATES
dc.contributor.countryeditoruniversityotherUNITED KINGDOM
dc.relation.isversionofjnlpublisherElsevier
dc.relation.forthcomingnonen
dc.relation.forthcomingprintnonen
dc.description.ssrncandidatenon
dc.description.halcandidateoui
dc.description.readershiprecherche
dc.description.audienceInternational
dc.relation.Isversionofjnlpeerreviewedoui
dc.date.updated2017-11-13T16:12:53Z
hal.person.labIds*
hal.person.labIds1032*
hal.person.labIds*
hal.identifierhal-01634155*


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