THE JOURNAL OF FINANCIAL ECONOMICS· VOL.125, ISSUE.3 ·September 2017

总波动率的波动率与对冲基金的回报率

作者：Vikas Agarwal (Georgia State University), Y. Eser Arisoy (PSL Research University, France), Narayan Y.Naik (London Business School)

摘要：这篇文献实证研究了股票市场波动的不确定性能否在横截面和时间序列上解释对冲基金的业绩。我们使用总波动率的波动率测度不确定性，并基于芝加哥期权交易所（CBOE）波动指数（VIX）的回顾式跨式期权构建了一个可投资的方案。我们发现VOV风险敞口是对冲基金回报率的一个显著决定因素。在控制了基金特征之后，我们发现在横截面上，对冲基金的VOV风险敞口与风险溢价呈现强健的、显著的负关系。我们使用了一个更长样本区间中统计上的、参数化的VOV代理变量证实了我们的结论。

关键字：不确定性，波动率的波动率，对冲基金，业绩，风险

Volatility of aggregate volatility and hedge fund returns

Vikas Agarwal (Georgia State University), Y. Eser Arisoy (PSL Research University, France), Narayan Y.Naik (London Business School)

ABSTRACT

This paper investigates empirically whether uncertainty about equity market volatility can explain hedge fund performance both in the cross section and over time. We measure uncertainty via volatility of aggregate volatility (VOV) and construct an investable version through returns on lookback straddles on the Chicago Board Options Exchange (CBOE) volatility index, VIX. We find that VOV exposure is a significant determinant of hedge fund returns. After controlling for fund characteristics, we find a robust and significant negative risk premium for VOV exposure in the cross section of hedge fund returns. We corroborate our results using statistical and parameterized proxies of VOV over a longer sample period.

Keywords: Uncertainty, Volatility of volatility, Hedge funds, Performance, Risk

原文链接：

http://www.sciencedirect.com/science/article/pii/S0304405X17301320

翻译：吴雨玲