The returns to hedge funds and other alternative investments are often highly serially
correlated. In this paper, we explore several sources of such serial correlation and show that the …

We propose several econometric measures of connectedness based on principal-components
analysis and Granger-causality networks, and apply them to the monthly returns of hedge …

This paper analyzes the life cycles of hedge funds. Using the Lipper TASS database it provides
category and fund specific factors that affect the survival probability of hedge funds. The …

The hedge-fund industry has grown rapidly over the past two decades, offering investors
unique investment opportunities that often reflect more complex risk exposures than those of …

The term systemic risk is commonly used to describe the possibility of a series of correlated
defaults among financial institutions—typically banks—that occurs over a short period of time…

… o l d , and the M o m e n t u m factor are used in excess of T-Bill returns. … m a l l – L a r g e ,
Δ V I X , C r e d i t S p r e a d , V a l u e - G r o w t h , T e r m S p r e a d , G o l d , M o m e n t u m …

In the context of convertible bond issuance, we examine the impact of arbitrage activity on
underlying equity markets. In particular, we use changes in equity short interest following …

In this paper, we consider the impact of hedge funds on systemic risk by examining the
unique risk-and-return profiles of hedge funds—at both the individual-fund and the aggregate-…

This article examines the potential impact of capital supply on security issuance. We focus on
the role of convertible bond arbitrageurs as suppliers of capital to convertible bond issuers. …

… If I’m wrong, I will be very happy, but as far as I know, these stress tests do not build in
uncertainty. Simply adding an error term and doing Monte Carlo simulation runs of models of …