Full metadata record
DC Field | Value | Language |
---|---|---|
dc.contributor.author | 신정순 | - |
dc.date.accessioned | 2019-01-24T16:30:05Z | - |
dc.date.available | 2019-01-24T16:30:05Z | - |
dc.date.issued | 2019 | - |
dc.identifier.issn | 0270-7314 | - |
dc.identifier.other | OAK-24184 | - |
dc.identifier.uri | https://dspace.ewha.ac.kr/handle/2015.oak/248202 | - |
dc.description.abstract | This paper focuses on an unexplored dimension of fund managers’ timing ability: Market-wide tail risk implied by information in options markets. Constructing the option-implied tail risk, we investigate whether hedge fund managers can strategically time the tail risk through adjusting their exposure to changes of it. Using an extensive sample of equity-oriented hedge funds, we find strong evidence of tail risk timing ability of hedge fund managers. Furthermore, tail risk timing ability brings significant economic value to investors. Top-ranked funds outperform bottom-ranked funds by 5–7% annually after adjusting for risk factors. Our results are robust to various robustness checks. © 2018 Wiley Periodicals, Inc. | - |
dc.language | English | - |
dc.publisher | Wiley-Liss Inc. | - |
dc.subject | fund performance | - |
dc.subject | hedge funds | - |
dc.subject | option-implied tail risk | - |
dc.subject | tail risk timing | - |
dc.title | Do hedge funds time market tail risk? Evidence from option-implied tail risk | - |
dc.type | Article | - |
dc.relation.issue | 2 | - |
dc.relation.volume | 39 | - |
dc.relation.index | SSCI | - |
dc.relation.index | SCOPUS | - |
dc.relation.startpage | 205 | - |
dc.relation.lastpage | 237 | - |
dc.relation.journaltitle | Journal of Futures Markets | - |
dc.identifier.doi | 10.1002/fut.21972 | - |
dc.identifier.wosid | WOS:000455132300005 | - |
dc.identifier.scopusid | 2-s2.0-85056138533 | - |
dc.author.google | Shin J.-S. | - |
dc.author.google | Kim M. | - |
dc.author.google | Oh D. | - |
dc.author.google | Kim T.S. | - |
dc.contributor.scopusid | 신정순(54880392100) | - |
dc.date.modifydate | 20220209081002 | - |