Journal of Empirical Finance · VOLUME 40 · MARCH 2017

系统性风险与对冲基金横截面收益

作者：Inchang Hwanga (Korea Insurance Research Institute), Simon Xub (Department of Banking and Finance, Monash Business School, Monash University), Francis Inc (Department of Accounting, Finance and Economics, Griffth Business School, Griffth University), Tong Suk Kimd (Korea Advanced Institute of Science and Technology, College of Business)

摘要：本文检验了对冲基金收益与系统性风险的横截面关系，使用边际期望损失的方法衡量单个对冲基金的系统性风险，作者发现了系统性风险与对冲基金收益之间存在正向的统计显著关系。在1994年到2012年间，具有高系统性风险的对冲基金组合的风险调整后收益比低系统性风险的组合每月高出0.64%，但是在危机时期，高系统性风险的组合收益则较低，这种关系对于现存的和退出清算的对冲基金均适用；并且这种检验关系在控制了大量的基金特征后依然成立。因此系统性风险是对冲基金横截面收益变化的一个有力解释。本文的结果说明这种系统性风险与对冲基金收益间的正向关系是由对系统性事件期间发生损失的补偿所造成的。

关键词：对冲基金、系统性风险、横截面期望收益

Systemic Risk and Cross-Sectional Hedge Fund Returns

Inchang Hwanga (Korea Insurance Research Institute)

Simon Xub (Department of Banking and Finance, Monash Business School, Monash University)

Francis Inc (Department of Accounting, Finance and Economics, Griffth Business School, Griffth University)

Tong Suk Kimd (Korea Advanced Institute of Science and Technology, College of Business)

ABSTRACT

This paper examines the cross-sectional relation between hedge fund returns and systemic risk. Measuring the systemic risk of an individual hedge fund by using the marginal expected shortfall (MES), we find evidence for a positive and statistically significant relation between systemic risk and hedge fund returns. The risk-adjusted return of a hedge fund portfolio with a high systemic risk is 0.64% per month higher than for one with a low systemic risk during 1994–2012, while negative performance is observed during crisis periods. The relation between systemic risk and hedge fund returns holds for both live and defunct funds. Moreover, the relation holds even after controlling for a large set of fund characteristics. Hence, systemic risk is a powerful determinant of cross-sectional variations in hedge fund returns. Our results imply that the positive relation between hedge fund returns and systemic risk is due to compensation for the realized losses during systemic events.

Keywords: Hedge fund; Systemic risk; Cross-section of expected returns

原文链接：http://www.sciencedirect.com/science/article/pii/S0927539817300245

翻译：殷曼琳