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Liquidity Risk, Return Predictability, and Hedge Funds? Performance: An Empirical Study
This article analyzes the effect of liquidity risk on the performance of equity hedge fund portfolios. Similarly to Avramov, Kosowski, Naik, and Teo (2007), (2011), we observe that, before accounting for the effect of liquidity risk, hedge fund portfolios that incorporate predictability in managerial skills generate superior performance. This outperformance disappears or weakens substantially for most emerging markets, event-driven, and long/short hedge fund portfolios once we account for liquidity risk. Moreover, we show that the equity market-neutral and long/short hedge fund portfolios? ?alphas? also entail rents for their service as liquidity providers. These results hold under various robustness tests..Printed Journal
Ketersediaan
| Call Number | Location | Available |
|---|---|---|
| JFQA4801 | PSB lt.dasar - Pascasarjana | 1 |
| Penerbit | Cambridge: Cambridge University Press |
|---|---|
| Edisi | - |
| Subjek | Liquidity Risk |
| ISBN/ISSN | - |
| Klasifikasi | - |
| Deskripsi Fisik | - |
| Info Detail Spesifik | - |
| Other Version/Related | Tidak tersedia versi lain |
| Lampiran Berkas | Tidak Ada Data |