Liquidity risk and the cross-section of hedge-fund returns

• 成果类型: Article
• 署名作者: Sadka, Ronnie
• 署名单位: Boston College
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2010.05.001
• 发表日期: 2010
• 页码: 54-71
• 关键词: LIQUIDITY RISK; Hedge funds; Price impact; asset pricing

摘要

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. (C) 2010 Elsevier B.V. All rights reserved.