High Funding Risk and Low Hedge Fund Returns

I am especially grateful to my advisors David Lando and Lasse Pedersen, as well as Robert Hodrick and Suresh Sundaresan, for many fruitful discussions and helpful comments. I am also grateful to Nigel Barradale, Marcel Fischer, Juha Joenväärä (discussant), Samuli Knüpfer, Sebastian Müller (discussant), Øyvind Norli, Simon Rottke, Norman Schürhoff, Philipp Schuster, Valeri Sokolovski, Melvyn Teo, Christian Wagner, Ivo Welch (the editor), Paul Whelan, Hong Zhang (discussant), an anonymous referee, conference participants at the Kiel workshop on empirical asset pricing, the 2016 NFN PhD workshop, the 2017 CICF conference, seminar participants at Copenhagen Business School, University of Karlsruhe, University of Konstanz, pre-thesis seminar participants at Columbia University and NYU, as well as seminar participants at University of St. Gallen, HEC Lausanne, Paris Dauphine, Singapore Management University, Nanyang Technological University, BI Norwegian Business School, Bocconi, Erasmus Rotterdam, Fordham, and McGill for helpful comments. Support from the Center for Financial Frictions (FRIC), grant no. DNRF102, is gratefully acknowledged.