Pelizzon, Loriana; Billio, Monica; Getmansky, Mila - Dipartimento di Economia, Università Ca' Foscari Venezia - 2008
We study the effect of financial crises on hedge fund risk. Using a regime-switching beta model, we separate systematic … and idiosyncratic components of hedge fund exposure. The systematic exposure to various risk factors is conditional on … factors. This suggests that liquidity risk and credit risk are potentially common factors for different hedge fund strategies …