Systematic Risk and the Cross-Section of Hedge Fund Returns

By Turan G. Bali, Stephen J. Brown, M. O. Caglayan. 2012

149 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/0366a88d94c3b3eb24ea924abc0cdfb72f508d05

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

1. Stefan Ruenzi
2. F. Weigert
3. Vikas Agarwal
4. Melvyn Teo
5. Claudia Czado
6. Martin Eling
7. Narayan Naik
8. William Fung

In Finance

1. Stefan Ruenzi
2. F. Weigert
3. Vikas Agarwal
4. Melvyn Teo
5. Claudia Czado
6. Andrew J. Patton
7. Martin Eling
8. Narayan Naik

Citations in the corpus

• Tail Risk in Hedge Funds: A Unique View from Portfolio Holdings (2017, result): “12This finding is in accordance with Bali, Brown, and Caglayan (2012) that systematic risk drives hedge fund returns, not idiosyncratic risk.”