When There Is No Place to Hide: Correlation Risk and the Cross-Section of Hedge Fund Returns
利用相关性互换的新数据集，研究了对冲基金特征与相关性风险的关系，发现创造市场中性收益的能力常伴随显著的相关性风险暴露，且相关性风险的市场价格为负，解释了基金超额收益的截面差异。
Using a novel data set on correlation swaps, we study the relation between correlation risk, hedge fund characteristics, and their risk-return profile. We find that the ability of hedge funds to create market-neutral returns is often associated with a significant exposure to correlation risk, which helps to explain the large abnormal returns found in previous models. We also estimate a significant negative market price of correlation risk, which accounts for the cross-section of hedge fund excess returns. Finally, we detect a pronounced nonlinear relation between correlation risk exposure and the tail risk of hedge fund returns.