Do hedge funds time market tail risk? Evidence from option-implied tail risk

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dc.contributor.authorShin, Jung-Soonko
dc.contributor.authorKim, Minkiko
dc.contributor.authorOh, Dongjunko
dc.contributor.authorKim, Tong Sukko
dc.date.accessioned2019-02-20T04:50:47Z-
dc.date.available2019-02-20T04:50:47Z-
dc.date.created2019-01-28-
dc.date.created2019-01-28-
dc.date.issued2019-02-
dc.identifier.citationJOURNAL OF FUTURES MARKETS, v.39, no.2, pp.205 - 237-
dc.identifier.issn0270-7314-
dc.identifier.urihttp://hdl.handle.net/10203/250192-
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.-
dc.languageEnglish-
dc.publisherWILEY-
dc.titleDo hedge funds time market tail risk? Evidence from option-implied tail risk-
dc.typeArticle-
dc.identifier.wosid000455132300005-
dc.identifier.scopusid2-s2.0-85056138533-
dc.type.rimsART-
dc.citation.volume39-
dc.citation.issue2-
dc.citation.beginningpage205-
dc.citation.endingpage237-
dc.citation.publicationnameJOURNAL OF FUTURES MARKETS-
dc.identifier.doi10.1002/fut.21972-
dc.contributor.localauthorKim, Tong Suk-
dc.contributor.nonIdAuthorShin, Jung-Soon-
dc.contributor.nonIdAuthorOh, Dongjun-
dc.description.isOpenAccessN-
dc.type.journalArticleArticle; Proceedings Paper-
dc.subject.keywordAuthoroption-implied tail risk-
dc.subject.keywordAuthorhedge funds-
dc.subject.keywordAuthortail risk timing-
dc.subject.keywordAuthorfund performance-
dc.subject.keywordPlusMUTUAL FUNDS-
dc.subject.keywordPlusINVESTMENT PERFORMANCE-
dc.subject.keywordPlusTIMING ABILITY-
dc.subject.keywordPlusCROSS-SECTION-
dc.subject.keywordPlusVOLATILITY-
dc.subject.keywordPlusRETURN-
dc.subject.keywordPlusEQUILIBRIUM-
dc.subject.keywordPlusSTRATEGIES-
dc.subject.keywordPlusSKEWNESS-
dc.subject.keywordPlusSTOCKS-
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