Hedge fund liquidity and performance: Evidence from the financial crisis

► We investigate how share restrictions and asset liquidity affect fund performance. ► We differentiate between crisis and non-crisis periods. ► We document a share illiquidity premium (discount) in non-crisis (crisis) periods. ► An asset-liability mismatch results in poor performance and fund outflows in crises. ► Higher incentive fees help to overcome incentive problems of share restrictions.