کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
960372 929449 2010 18 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Liquidity risk and the cross-section of hedge-fund returns
موضوعات مرتبط
علوم انسانی و اجتماعی مدیریت، کسب و کار و حسابداری حسابداری
پیش نمایش صفحه اول مقاله
Liquidity risk and the cross-section of hedge-fund returns
چکیده انگلیسی

This paper demonstrates that liquidity risk as measured by the covariation of fund returns with unexpected changes in aggregate liquidity is an important determinant in the cross-section of hedge-fund returns. The results show that funds that significantly load on liquidity risk subsequently outperform low-loading funds by about 6% annually, on average, over the period 1994–2008, while negative performance is observed during liquidity crises. The returns are independent of the liquidity a fund provides to its investors as measured by lockup and redemption notice periods, and they are also robust to commonly used hedge-fund factors, none of which carries a significant premium during the sample period. These findings highlight the importance of understanding systematic liquidity variations in the evaluation of hedge-fund performance.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Financial Economics - Volume 98, Issue 1, October 2010, Pages 54–71
نویسندگان
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