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Liquidity Risk, Return Predictability, and Hedge Funds’ Performance: An Empirical Study
16 references·4 citing·29 second hop
Liquidity Risk, Return Predictability, and Hedge Funds’ Performance: An Empirical Study (2013)Liquidity Risk, Return Predictability, an…Do hedge funds deliver alpha? A Bayesian and bootstrap analysis☆ (2007)Do hedge funds deliver alpha?…Momentum and post-earnings-announcement drift anomalies: The role of liquidity risk (2005)Momentum and post-earnings-an…Asset pricing with liquidity risk (2005)Asset pricing with liquidity …Hedge Fund Benchmarks: A Risk-Based Approach (2004)Hedge Fund Benchmarks: A Risk…An econometric model of serial correlation and illiquidity in hedge fund returns (2004)An econometric model of seria…Risks and Portfolio Decisions Involving Hedge Funds (2003)Risks and Portfolio Decisions…Liquidity Risk and Expected Stock Returns (2003)Liquidity Risk and Expected S…Illiquidity and stock returns: cross-section and time-series effects (2002)Illiquidity and stock returns…The Risk in Hedge Fund Strategies: Theory and Evidence from Trend Followers (2001)The Risk in Hedge Fund Strate…Multi-Period Performance Persistence Analysis of Hedge Funds (2000)Multi-Period Performance Pers…On the Performance of Hedge Funds (1999)On the Performance of Hedge F…Offshore Hedge Funds: Survival and Performance, 1989–95 (1999)Offshore Hedge Funds: Surviva…Offshore Hedge Funds: Survival and Performance 1989-1995 (1997)Offshore Hedge Funds: Surviva…Empirical Characteristics of Dynamic Trading Strategies: The Case of Hedge Funds (1997)Empirical Characteristics of …Trading Volume and Serial Correlation in Stock Returns (1993)Trading Volume and Serial Cor…Continuous Auctions and Insider Trading (1985)Continuous Auctions and Insid…Crowded Trades and Tail Risk (2021)Crowded Trades and Tail RiskThe search for yield: Implications to alternative investments (2017)The search for yield: Implica…Commonality in Liquidity and Real Estate Securities (2016)Commonality in Liquidity and …Dodd-Franking the Hedge Funds (2014)Dodd-Franking the Hedge FundsThe Cross-Section of Expected Stock Returns (1992)Hedge Funds: Performance, Risk, and Capital Formation (2008)Role of Managerial Incentives and Discretion in Hedge Fund Performance (2009)Climate Change Concerns and the Performance of Green vs. Brown Stocks (2022)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Pricing of Options and Corporate Liabilities (1973)Common risk factors in the returns on stocks and bonds (1993)The Performance of Mutual Funds in the Period 1945-1964 (1968)THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–1964 (1968)The Strategic and Tactical Value of Commodity Futures (2006)Mutual Fund Performance: An Analysis of Quarterly Portfolio Holdings (1989)Hedge Funds and the Technology Bubble (2004)The Relation Between Price Changes and Trading Volume: A Survey (1987)Why Does Stock Market Volatility Change Over Time? (1989)Noise Trader Risk in Financial Markets (1990)Testing for Linear and Nonlinear Granger Causality in the Stock Price- Volume Relation (1994)Price Momentum and Trading Volume (2000)The Sum of All FEARS Investor Sentiment and Asset Prices (2014)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Market Liquidity and Funding Liquidity (2008)A five-factor asset pricing model (2014)Editor's Choice Digesting Anomalies: An Investment ApproachOn Persistence in Mutual Fund Performance (1997)Risk, Return, and Equilibrium: Empirical Tests (1973)Econometrics of Event Studies**We thank Espen Eckbo, Jon Lewellen, Adam Kolasinski, and Jay Ritter for insightful comments, and Irfan Safdar and Alan Wancier for research assistance. (2007)Understanding commonality in liquidity around the world (2011)Short Selling and the Price Discovery Process (2012)Investor Psychology and Security Market Under‐ and Overreactions (1998)Liquidity and leverage (2008)
this work references cited by second hop

References

  • 2002Illiquidity and stock returns: cross-section and time-series effects10,008 cited
  • 1985Continuous Auctions and Insider Trading9,626 cited
  • 2003Liquidity Risk and Expected Stock Returns5,362 cited
  • 2005Asset pricing with liquidity risk2,816 cited
  • 1993Trading Volume and Serial Correlation in Stock Returns1,560 cited
  • 1997Empirical Characteristics of Dynamic Trading Strategies: The Case of Hedge Funds1,262 cited
  • 2003Risks and Portfolio Decisions Involving Hedge Funds1,213 cited
  • 2001The Risk in Hedge Fund Strategies: Theory and Evidence from Trend Followers1,198 cited
  • 2004Hedge Fund Benchmarks: A Risk-Based Approach1,029 cited
  • 2005Momentum and post-earnings-announcement drift anomalies: The role of liquidity risk1,008 cited
  • 2004An econometric model of serial correlation and illiquidity in hedge fund returns1,000 cited
  • 2000Multi-Period Performance Persistence Analysis of Hedge Funds600 cited
  • 1997Offshore Hedge Funds: Survival and Performance 1989-1995597 cited
  • 2007Do hedge funds deliver alpha? A Bayesian and bootstrap analysis☆594 cited
  • 1999On the Performance of Hedge Funds547 cited

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  • 1999Offshore Hedge Funds: Survival and Performance, 1989–95510 cited
  • Cited by

    • 2021Crowded Trades and Tail Risk33 cited
    • 2014Dodd-Franking the Hedge Funds27 cited
    • 2017The search for yield: Implications to alternative investments22 cited
    • 2016Commonality in Liquidity and Real Estate Securities21 cited