Reconsidering Funds of Hedge Funds

Chapter 23

The Intertemporal Relation between Tail Risk and Funds of Hedge Funds Returns

Yigit Atilgan^∗, Turan G. Bali^† and K. Ozgur Demirtas^∗∗, ^∗Assistant Professor of Finance, Sabanci Universitesi, stanbul, Turkey, ^†Robert S. Parker Chair Professor of Business Administration, Georgetown University, Washington, DC, USA, ^∗∗Professor of Finance, Sabanci Universitesi, stanbul, Turkey

Chapter Outline

23.1. Introduction

23.2. Data and Methodology

23.3. Empirical Results

Conclusion

References

23.1 Introduction

Merton (1981) and Dybvig and Ross (1985) ...