β in the tails

Do hedge funds hedge? In negative states of the world, often not as much as they should. For several styles, we report larger market betas when market returns are low (i.e., “beta in the tails”). We justify this finding through a combination of negative-mean jumps in the market returns and large mar...

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Veröffentlicht in:	Journal of econometrics 2022-03, Vol.227 (1), p.134-150
Hauptverfasser:	Bandi, Federico M., Renò, Roberto
Format:	Artikel
Sprache:	eng
Schlagworte:	Beta Diffusive risk Econometrics Hedge funds Jump risk Mathematical models Risk assessment
Online-Zugang:	Volltext
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