THE JOURNAL OF FINANCIAL ECONOMICS· VOL.125, ISSUE.3 · September 2017

对冲基金的尾端风险：组合持仓的一个独特视角

作者：Vikas Agarwal (Georgia State University),

Stefan Ruenzi (University of Mannheim),

Florian Weigert (Swiss Institute of Banking and Finance)

摘要：我们建立了一种新的度量股权对冲基金系统尾端风险的方法，以检验尾端风险对基金业绩的影响并确认尾端风险的来源。研究发现尾端风险影响基金回报率在横截面上的变化，对尾端风险敏感的股票投资和期权投资会导致尾端风险。此外，杠杆率和基金流动性冲击的风险敞口是尾端风险的重要决定因素。本文发现了一些基金在2008年至2009年的金融危机前能够对尾端风险择时的证据。

关键字：对冲基金，尾端风险，组合持仓，融资流动性风险，杠杆

Tail risk in hedge funds: A unique view from portfolio holdings

Vikas Agarwal (Georgia State University), Stefan Ruenzi (University of Mannheim), Florian Weigert (Swiss Institute of Banking and Finance)

ABSTRACT

We develop a new systematic tail risk measure for equity-oriented hedge funds to examine the impact of tail risk on fund performance and to identify the sources of tail risk. We find that tail risk affects the cross-sectional variation in fund returns and that investments in both tail-sensitive stocks and options drive tail risk. Moreover, leverage and exposure to funding liquidity shocks are important determinants of tail risk. We find evidence of some funds being able to time tail risk exposure prior to the 2008–2009 financial crisis.

Keywords: Hedge funds, Tail risk, Portfolio holdings, Funding liquidity risk, Leverage

原文链接：

http://www.sciencedirect.com/science/article/pii/S0304405X1730123X

翻译：吴雨玲