Higher‐Moment Risk Exposures in Hedge Funds
29 Pages Posted: 13 Mar 2015
There are 3 versions of this paper
Higher-Moment Risk Exposures in Hedge Funds
Date Written: March 2015
Abstract
This paper singles out the key roles of US equity skewness and kurtosis in the hedge fund return generating process. We propose a conditional higher‐moment model with location, trading, and higher‐moment factors to describe the dynamics of the equity hedge, event‐driven, relative value, and fund of funds styles. If the volatility, skewness, and kurtosis implied in US options are used by fund managers as instruments to anticipate market movements, managers should adjust their market exposure in response to variations in these moments. We indeed show that higher‐moment premia improve the conditional asset pricing model across all hedge fund styles.
Keywords: hedge funds, implied higher‐moments, conditioning factors
Suggested Citation: Suggested Citation
Do you have a job opening that you would like to promote on SSRN?
Higher‐Moment Risk Exposures in Hedge Funds
This is a Wiley-Blackwell Publishing paper. Wiley-Blackwell Publishing charges $42.00 .
File name: EUFM.pdf
Size: 0K
If you wish to purchase the right to make copies of this paper for distribution to others, please select the quantity.
