Patton is with Duke University and the Oxford-Man Institute of Quantitative Finance. Ramadorai is with Saïd Business School, Oxford University, Oxford-Man Institute of Quantitative Finance, and CEPR. Acting Editor: Jennifer Conrad. We thank Alexander Taylor and Sushant Vale for dedicated research assistance and Nick Bollen, Michael Brandt, Mardi Dungey, Jean-David Fermanian, Robert Kosowski, Olivier Scaillet, Kevin Sheppard, Melvyn Teo, and seminar participants at Fuqua School of Business, the Oxford-Man Institute Hedge Fund Conference, the CREST-HEC Hedge Fund Conference, the 2010 SoFiE annual conference, Lancaster University, the University of Tasmania, and the 2011 Western Finance Association conference for useful comments.
On the High-Frequency Dynamics of Hedge Fund Risk Exposures
Version of Record online: 7 MAR 2013
© 2013 the American Finance Association
The Journal of Finance
Volume 68, Issue 2, pages 597–635, April 2013
How to Cite
PATTON, A. J. and RAMADORAI, T. (2013), On the High-Frequency Dynamics of Hedge Fund Risk Exposures. The Journal of Finance, 68: 597–635. doi: 10.1111/jofi.12008
- Issue online: 7 MAR 2013
- Version of Record online: 7 MAR 2013
- Accepted manuscript online: 26 NOV 2012 12:00AM EST
- Initial submission: April 2, 2010; Final version received: October 15, 2012
Appendix S1: Internet Appendix
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