Hedge funds and discretionary liquidity restrictions

• 成果类型: Article
• 署名作者: Aiken, Adam L.; Clifford, Christopher P.; Ellis, Jesse A.
• 署名单位: Quinnipiac University; University of Kentucky; North Carolina State University
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2015.01.002
• 发表日期: 2015
• 页码: 197-218
• 关键词: HEDGE FUNDS; liquidity; Discretionary liquidity

摘要

We study hedge funds that imposed discretionary liquidity restrictions (DLRs) on investor shares during the financial crisis. DLRs prolong fund life, but impose liquidity costs on investors, creating a potential conflict of interest. Ostensibly, funds establish DLRs to limit performance-driven withdrawals that could force fire sales of illiquid assets. However, after they restrict investor liquidity, DLR funds do not reduce illiquid stock sales and underperform a control sample of non-DLR funds. Consequently, DLRs appear to negatively impact fund family reputation. After the crisis, funds from DLR families faced difficulties raising capital and were more likely to cut their fees. (C) 2015 Elsevier B.V. All rights reserved.