Value at Risk and the Cross-Section of Hedge Fund Returns

By Turan G. Bali, Suleyman Gokcan, Bing Liang. 2007

137 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/f0ccd6cade58780f5971c43c5c4320c7cb7b99fe

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Citations in the corpus

• The Level and Quality of Value-at-Risk Disclosure by Commercial Banks (2010, unknown): “5 Hirtle (2003) shows that US banks’ quarterly market risk charges contain valuable information about future risk exposures (see also Liu et al., 2004; Bali et al., 2007; Taylor, 2007; Alexander and Sheedy, 2008).”
• Systematic Risk and the Cross-Section of Hedge Fund Returns (2012, unknown): “…list includes Fung and Hsieh (1997, 2000, 2001, 2004), Ackermann, McEnally, and Ravenscraft (1999), Liang (1999,2001), Mitchell and Pulvino (2001), Agarwal and Naik (2000,2004), Kosowski, Naik, and Teo (2007), Bali, Gokcan, and Liang (2007), Liang and Park (2007), Fung et al. (2008), Patton…”
• Predicting Hedge Fund Failure: A Comparison of Risk Measures (2009, unknown): “HFR is used by Ackermann, McEnally, and Ravenscraft (1999), Liang (2000), Bali et al. (2007), and Fung et al. (2008).”
• Do Hedge Funds’ Exposures to Risk Factors Predict Their Future Returns? (2011, unknown): “Bali, Gokcan, and Liang (2007) and Liang and Park (2007) provide evidence for a significant, positive link between downside risk and the cross-section of hedge fund returns.”
• Tail Risk in Hedge Funds: A Unique View from Portfolio Holdings (2017, background): “Bali, Gokcan, and Liang (2007) show that surviving funds with high VaR outperform those with low VaR.”
• Extreme Downside Risk and Expected Stock Returns (2012, unknown): “Similarly, Bali et al. (2007) doc- 1 Our approach is different from some of the recent studies which examine impac of rare disasters on the stock market itself.”