The Secondary Market for Hedge Funds and the Closed Hedge Fund Premium

• 成果类型: Article
• 署名作者: Ramadorai, Tarun
• 署名单位: University of Oxford
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/j.1540-6261.2012.01723.x
• 发表日期: 2012
• 页码: 479-512
• 关键词: Investor sentiment; COSTLY ARBITRAGE; asset prices; Mutual funds; END FUNDS; performance; RISK; discounts; liquidity; OWNERSHIP

摘要

Rational theories of the closed-end fund premium puzzle highlight fund share and asset illiquidity, managerial ability, and fees as important determinants of the premium. Several of these attributes are difficult to measure for mutual funds, and easier to measure for hedge funds. This paper employs new data from a secondary market for hedge funds, discovers a closed-hedge fund premium that is highly correlated with the closed-end mutual fund premium, and shows that the closed-hedge fund premium is well explained by variables suggested by rational theories. Sentiment-based explanations do not find support in the data.