This paper is the first to study the hedging of price risk with uncertain payment dates, a frequent problem in practice … advantages with increasing hedge horizons and strongly dependent time and price risk, while linear instruments can suffice for …

The long-run consumption risk model provides a theoretically appealing explanation for prominent asset pricing puzzles … U.S. data and provide a critical re-assessment of the long-run risk model's ability to reconcile the real economy and …

very important for the risk-return characteristics of the resulting portfolios and their sensitivities to common risk … design elements of low-beta strategies too. If smaller firms are excluded, risk-adjusted returns of low-beta strategies can …

We develop a new tail risk measure for 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 … investments in both, tailsensitive stocks as well as options, drive tail risk. Moreover, managerial incentives and discretion as …

set of fund characteristics, we document a robust and significant negative risk premium for VOV exposure in the cross … of hedge funds is distinct from that of mutual funds and is consistent with the dynamic trading of hedge funds and risk …

We merge the literature on downside return risk and liquidity risk and introduce the concept of extreme downside … same time when the market liquidity (return) is lowest. This effect is not driven by linear or downside liquidity risk or … extreme downside return risk and is mainly driven by more recent years. There is no premium for stocks whose liquidity is …

robust and significant negative risk premium for VOV exposure in the crosssection of hedge fund returns. We further show that … uncertainty in the market is less. Furthermore, the variation in the VOV betas is consistent with the risk-taking incentives of …

omitted from popular models, exhibit similarities in their choices of specific stocks and industries, or vary their risk …