Using a complete set of the SEC filing information on hedge funds (Form ADV) and the TASS data, we develop a quantitative model called the ω-Score to measure hedge fund operational risk. The ω-Score is related to conflict of interest issues, concentrated ownership, and reduced leverage in the...

The company's unique full-payout dividend policy allows us to estimate an asset pricing model with fundamentally persistent dividends and a time-varying risk correction. The model is not rejected by the data. Variations in expected future dividends are found to explain between one-sixth and...

To understand the nature of hedge fund managers' skills, we study the implementation of risk arbitrage by hedge funds using their portfolio holdings and comparing them with those of other institutional arbitrageurs. We find that hedge funds significantly outperform a naive risk arbitrage...

In this paper, we study if the risk associated with innovations in economic policy uncertainty (EPU), that is, EPU risk, is priced in the cross section of hedge fund returns. Based on decile portfolios sorted on the EPU beta, we show that EPU risk commands a significantly negative premium of...

Through a novel design to link climate risk and the U.S. firm patents related to climate change mitigation technologies (CCMTs), we find that CCMT innovations generate significant economic value and are effective in mitigating firms’ carbon risk, especially when such risk is high and investor...

This paper investigates the extent to which market risk, residual risk, and tail risk explain the cross sectional dispersion in hedge fund returns. The paper introduces a comprehensive measure of systematic risk (SR) for individual hedge funds by breaking up total risk into systematic and fund...

This paper investigates the extent to which market risk, residual risk, and tail risk explain the cross sectional dispersion in hedge fund returns. The paper introduces a comprehensive measure of systematic risk (SR) for individual hedge funds by breaking up total risk into systematic and fund...