Do Hedge Funds Exploit Rare Disaster Concerns?
研究对冲基金利用市场对罕见灾难的担忧（未必实际发生）的能力，发现擅长此道的基金月收益高出0.96%，且在市场压力时期表现更佳。
We investigate whether hedge funds with better skills of exploiting the market's ex ante rare disaster concerns, which may not realize as disaster shocks ex post, deliver superior future fund performance. We measure fund skills in exploiting rare disaster concerns (SED) using the covariation between fund returns and a disaster concern index we develop through out-of-the-money puts on various economic sector indices. Funds earning higher returns when the index is high possess better skills of exploiting disaster concerns. Our main result shows that high-SED funds outperform low-SED funds by 0.96% per month and even more during stressful market times, while high-SED have less exposure to disaster risk.