Tail risk exposures of hedge funds: Evidence from unique Brazilian data

dc.creatorAlmeida, Caio
dc.creatorFernandes, Marcelo
dc.creatorValente, Joao Paulo
dc.date2022-06-29
dc.date.accessioned2022-11-03T21:19:45Z
dc.date.available2022-11-03T21:19:45Z
dc.identifierhttps://bibliotecadigital.fgv.br/ojs/index.php/bre/article/view/84411
dc.identifier.urihttps://repositorioslatinoamericanos.uchile.cl/handle/2250/5048117
dc.descriptionThis paper examines tail risk in the Brazilian hedge fund industry. We rely on a unique data set of daily returns for every hedge fund in Brazil, dead or alive. By employing the universe of hedge funds, we ensure the absence of selection, survivorship, and instant history biases. We estimate tail risk measures based on the cross-section of both equity and hedge-fund returns. In particular, we rely on the expected shortfall of the cross-section distribution both under the physical and risk-neutral measures. We find that tail risk estimates are very different not only across asset classes (equity vs hedge fund), but also across probability measures (physical vs risk neutral). We also show that, although hedge funds in Brazil seem to exhibit more contemporaneous exposure to equity tail risk, which also partially explains the cross-section of their expected returns, hedge fund tail risk entails higher predictive ability to performance over time.en-US
dc.formatapplication/pdf
dc.languageeng
dc.publisherSociedade Brasileira de Econometriaen-US
dc.relationhttps://bibliotecadigital.fgv.br/ojs/index.php/bre/article/view/84411/81050
dc.rightsCopyright (c) 2022 Brazilian Review of Econometricspt-BR
dc.sourceBrazilian Review of Econometrics; Vol. 41 No. 1 (2021); 151-175en-US
dc.sourceBrazilian Review of Econometrics; v. 41 n. 1 (2021); 151-175pt-BR
dc.source1980-2447
dc.titleTail risk exposures of hedge funds: Evidence from unique Brazilian dataen-US
dc.typeinfo:eu-repo/semantics/article
dc.typeinfo:eu-repo/semantics/publishedVersion


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