The liquidity risk of liquid hedge funds

• 成果类型: Article
• 署名作者: Teo, Melvyn
• 署名单位: Singapore Management University
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2010.11.003
• 发表日期: 2011
• 页码: 24-44
• 关键词: HEDGE FUNDS; liquidity risk; Funding liquidity; market liquidity; Redemption gates

摘要

This paper evaluates hedge funds that grant favorable redemption terms to investors. Within this group of purportedly liquid funds, high net inflow funds subsequently outperform low net inflow funds by 4.79% per year after adjusting for risk. The return impact of fund flows is stronger when funds embrace liquidity risk, when market liquidity is low, and when funding liquidity, as measured by the Treasury-Eurodollar spread, aggregate hedge fund flows, and prime broker stock returns, is tight. In keeping with an agency explanation, funds with strong incentives to raise capital, low manager option deltas, and no manager capital co-invested are more likely to take on excessive liquidity risk. These results resonate with the theory of funding liquidity by Brunnermeier and Pedersen (2009). (C) 2010 Elsevier B.V. All rights reserved.