Higher-Moment Risk Exposures in Hedge Funds

Hübner, Georges; Lambert, Marie; Papageorgiou, Nicolas

doi:10.1111/eufm.12054

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Article (Scientific journals)

Higher-Moment Risk Exposures in Hedge Funds

Hübner, Georges; Lambert, Marie; Papageorgiou, Nicolas

2015 • In European Financial Management, 21 (2), p. 236-264

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https://hdl.handle.net/2268/117570

DOI
10.1111/eufm.12054

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Keywords :

Hedge Funds; Implied higher-moments; conditioning factors

Abstract :

[en] 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.

Research center :

HEC Recherche. Asset and Risk Management - ULiège

Disciplines :

Finance

Author, co-author :

Hübner, Georges ; Université de Liège - ULiège > HEC Liège : UER > Gestion financière

Lambert, Marie ; Université de Liège - ULiège > HEC Liège : UER > Analyse financière et finance d'entreprise

Papageorgiou, Nicolas; HEC-Montréal

Language :

English

Title :

Higher-Moment Risk Exposures in Hedge Funds

Publication date :

March 2015

Journal title :

European Financial Management

ISSN :

1354-7798

eISSN :

1468-036X

Publisher :

Blackwell Publishing

Volume :

Issue :

Pages :

236-264

Peer reviewed :

Peer Reviewed verified by ORBi

Available on ORBi :

since 24 April 2012

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15 (7 by ULiège)

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