Do hedge funds time market tail risk? Evidence from option‐implied tail risk
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DOI: 10.1002/fut.21972
Abstract: This paper focuses on an unexplored dimension of fund managers’ timing ability: Market‐wide tail risk implied by information in options markets. Constructing the option‐implied tail risk, we investigate whether hedge fund managers can strategically time… read more here.
Keywords: risk; tail risk; hedge; implied tail ... See more keywords