Share restrictions and asset pricing: Evidence from the hedge fund industry

• 成果类型: Article
• 署名作者: Aragon, George O.
• 署名单位: Arizona State University; Arizona State University-Tempe
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2005.11.001
• 发表日期: 2007
• 页码: 33-58
• 关键词: liquidity; transactions costs; Hedge fund performance; Lockups

摘要

This paper presents evidence on the relation between hedge fund returns and restrictions imposed by funds that limit the liquidity of fund investors. The excess returns of funds with lockup restrictions are approximately 4-7% per year higher than those of nonlockup funds. The average alpha of all funds is negative or insignificant after controlling for lockups and other share restrictions. Also, a negative relation is found between share restrictions and the liquidity of the fund's portfolio. This suggests that share restrictions allow funds to efficiently manage illiquid assets, and these benefits are captured by investors as a share illiquidity premium. (c) 2006 Elsevier B.V. All rights reserved.