Hedge funds are fundamentally exposed to equity volatility, skewness, and kurtosis risks based on the systematic pattern and significant spread in alphas from the existing models that do not control for the higher-moment risks. The spread and pattern in alphas do not disappear with bootstrap...

In this paper, we identify and document the empirical characteristics of the key drivers of convertible arbitrage as a strategy and how they impact the performance of convertible arbitrage hedge funds. We show that the returns of a buy-and-hedge strategy involving taking a long position in...

We examine the determinants and consequences of changes in hedge fund fee structures. We show that fee changes are asymmetric with much greater incidence of fee increases compared to fee decreases. We find that managers of younger and smaller funds are more likely to increase fees after good...