Higher‐moment Risk Exposures in Hedge Funds
研究了美国股票偏度和峰度在对冲基金收益生成中的关键作用，提出了包含位置、交易和高阶矩因子的条件模型，发现高阶矩溢价能改善所有对冲基金风格的条件资产定价模型。
Abstract This paper singles out the key roles of US equity skewness and kurtosis in the hedge fund return generating process. We propose a conditional higher‐moment model with location, trading, and higher‐moment factors to describe the dynamics of the equity hedge, event‐driven, relative value, and fund of funds styles. If the volatility, skewness, and kurtosis implied in US options are used by fund managers as instruments to anticipate market movements, managers should adjust their market exposure in response to variations in these moments. We indeed show that higher‐moment premia improve the conditional asset pricing model across all hedge fund styles.