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Tail risk in hedge funds : a unique view from portfolio holdings
Agarwal, Vikas; Ruenzi, Stefan; Weigert, Florian - 2015 - This Version: May 10, 2015
well as exposure to funding liquidity shocks are important determinants of tail risk. We find evidence that is consistent …
Persistent link: https://www.econbiz.de/10011308031
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Employment risk, compensation incentives and managerial risk taking : evidence from the mutual fund industry
Kempf, Alexander; Ruenzi, Stefan; Thiele, Tanja - 2008 - This Version: May 2008
We examine the influence on managerial risk taking of incentives due to employment risk and due to compensation. Our empirical investigation of the risk taking behavior of mutual fund managers indicates that managerial risk taking crucially depends on the relative importance of these incentives....
Persistent link: https://www.econbiz.de/10009525977
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Tail risk in hedge funds : a unique view from portfolio holdings
Agarwal, Vikas; Ruenzi, Stefan; Weigert, Florian - 2015 - This version: May 10, 2015
exposure to funding liquidity shocks are important determinants of tail risk. We find evidence of some funds being able to time …
Persistent link: https://www.econbiz.de/10011344453