Volatility of aggregate volatility and hedge fund returns

被引：44

作者：

Agarwal, Vikas ^{[1
]}

Arisoy, Y. Eser ^{[2
]}

Naik, Narayan Y. ^{[3
]}

机构：

[1] Georgia State Univ, J Mack Robinson Coll Business, 35 Broad St,Suite 1234, Atlanta, GA 30303 USA

[2] PSL Res Univ, Univ Paris Dauphine, CNRS, DRM Finance, F-75016 Paris, France

[3] London Business Sch, Regents Pk, London NW1 4SA, England

来源：

JOURNAL OF FINANCIAL ECONOMICS | 2017年 / 125卷 / 03期

关键词：

Uncertainty; Volatility of volatility; Hedge funds; Performance; Risk; EXPECTED STOCK RETURNS; STOCHASTIC VOLATILITY; CORRELATION RISK; CROSS-SECTION; GOOD-NEWS; LONG-RUN; PERFORMANCE; MODEL; SELECTION; OPTIONS;

D O I：

10.1016/j.jfineco.2017.06.015

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

This paper investigates empirically whether uncertainty about equity market volatility can explain hedge fund performance both in the cross section and over time. We measure uncertainty via volatility of aggregate volatility (VOV) and construct an investable version through returns on lookback straddles on the Chicago Board Options Exchange (CBOE) volatility index, VIX. We find that VOV exposure is a significant determinant of hedge fund returns. After controlling for fund characteristics, we find a robust and significant negative risk premium for VOV exposure in the cross section of hedge fund returns. We corroborate our results using statistical and parameterized proxies of VOV over a longer sample period. (c) 2017 Elsevier B.V. All rights reserved.

引用

页码：491 / 510

页数：20

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