Essec\Faculty\Model\Contribution {#2188
  #_index: "academ_contributions"
  #_id: "13707"
  #_source: array:26 [
    "id" => "13707"
    "slug" => "s-in-the-tails"
    "yearMonth" => "2022-03"
    "year" => "2022"
    "title" => "ß in the tails"
    "description" => "BANDI, F.M. et RENO, R. (2022). ß in the tails. <i>Journal of Econometrics</i>, 227(1), pp. 134-150."
    "authors" => array:2 [
      0 => array:3 [
        "name" => "RENO Roberto"
        "bid" => "B00798674"
        "slug" => "reno-roberto"
      ]
      1 => array:1 [
        "name" => "BANDI Federico M."
      ]
    ]
    "ouvrage" => ""
    "keywords" => array:3 [
      0 => "Hedge funds"
      1 => "Diffusive risk -Jump risk"
      2 => "Beta"
    ]
    "updatedAt" => "2023-02-07 01:00:47"
    "publicationUrl" => "https://doi.org/10.1016/j.jeconom.2020.06.006"
    "publicationInfo" => array:3 [
      "pages" => "134-150"
      "volume" => "227"
      "number" => "1"
    ]
    "type" => array:2 [
      "fr" => "Articles"
      "en" => "Journal articles"
    ]
    "support_type" => array:2 [
      "fr" => "Revue scientifique"
      "en" => "Scientific journal"
    ]
    "countries" => array:2 [
      "fr" => null
      "en" => null
    ]
    "abstract" => array:2 [
      "fr" => "Do hedge funds hedge? In negative states of the world, often not as much as they should. For several styles, we report larger market betas when market returns are low (i.e., “beta in the tails”). We justify this finding through a combination of negative-mean jumps in the market returns and large market jump betas: when moving to the left tail of the market return distribution jump dynamics dominate continuous dynamics and the overall systematic risk of the fund is driven by the higher systematic risk associated with return discontinuities. Methodologically, the separation of continuous and discontinuous dynamics is conducted by exploiting the informational content of the high-order infinitesimal cross-moments of hedge-fund and market returns."
      "en" => "Do hedge funds hedge? In negative states of the world, often not as much as they should. For several styles, we report larger market betas when market returns are low (i.e., “beta in the tails”). We justify this finding through a combination of negative-mean jumps in the market returns and large market jump betas: when moving to the left tail of the market return distribution jump dynamics dominate continuous dynamics and the overall systematic risk of the fund is driven by the higher systematic risk associated with return discontinuities. Methodologically, the separation of continuous and discontinuous dynamics is conducted by exploiting the informational content of the high-order infinitesimal cross-moments of hedge-fund and market returns."
    ]
    "authors_fields" => array:2 [
      "fr" => "Systèmes d’Information, Sciences de la Décision et Statistiques"
      "en" => "Information Systems, Decision Sciences and Statistics"
    ]
    "indexedAt" => "2024-04-27T20:21:47.000Z"
    "docTitle" => "ß in the tails"
    "docSurtitle" => "Journal articles"
    "authorNames" => "<a href="/cv/reno-roberto">RENO Roberto</a>, BANDI Federico M."
    "docDescription" => "<span class="document-property-authors">RENO Roberto, BANDI Federico M.</span><br><span class="document-property-authors_fields">Information Systems, Decision Sciences and Statistics</span> | <span class="document-property-year">2022</span>"
    "keywordList" => "<a href="#">Hedge funds</a>, <a href="#">Diffusive risk -Jump risk</a>, <a href="#">Beta</a>"
    "docPreview" => "<b>ß in the tails</b><br><span>2022-03 | Journal articles </span>"
    "docType" => "research"
    "publicationLink" => "<a href="https://doi.org/10.1016/j.jeconom.2020.06.006" target="_blank">ß in the tails</a>"
  ]
  +lang: "en"
  +"_type": "_doc"
  +"_score": 8.503418
  +"parent": null
}