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dc.contributor.author신정순-
dc.date.accessioned2019-01-24T16:30:05Z-
dc.date.available2019-01-24T16:30:05Z-
dc.date.issued2019-
dc.identifier.issn0270-7314-
dc.identifier.otherOAK-24184-
dc.identifier.urihttps://dspace.ewha.ac.kr/handle/2015.oak/248202-
dc.description.abstractThis 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.languageEnglish-
dc.publisherWiley-Liss Inc.-
dc.subjectfund performance-
dc.subjecthedge funds-
dc.subjectoption-implied tail risk-
dc.subjecttail risk timing-
dc.titleDo hedge funds time market tail risk? Evidence from option-implied tail risk-
dc.typeArticle-
dc.relation.issue2-
dc.relation.volume39-
dc.relation.indexSSCI-
dc.relation.indexSCOPUS-
dc.relation.startpage205-
dc.relation.lastpage237-
dc.relation.journaltitleJournal of Futures Markets-
dc.identifier.doi10.1002/fut.21972-
dc.identifier.wosidWOS:000455132300005-
dc.identifier.scopusid2-s2.0-85056138533-
dc.author.googleShin J.-S.-
dc.author.googleKim M.-
dc.author.googleOh D.-
dc.author.googleKim T.S.-
dc.contributor.scopusid신정순(54880392100)-
dc.date.modifydate20190325165842-
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경영대학 > 경영학전공 > Journal papers
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