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Liquidity risk and the cross-section of hedge-fund returns☆ · Study

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ArticleLiquidity risk and the cross-section of hedge-fund returns☆

Ronnie Sadka2010

OA

Articlegreen2010

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

421 citations·0/0 files stored·Journal of Financial Economics

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Financial Markets and Investment Strategies Corporate Finance and Governance Financial Risk and Volatility Modeling

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References

1993Common risk factors in the returns on stocks and bonds 1973Risk, Return, and Equilibrium: Empirical Tests 2002Illiquidity and stock returns: cross-section and time-series effects 2003Liquidity Risk and Expected Stock Returns 1986Asset pricing and the bid-ask spread 2005Asset pricing with liquidity risk 2000Commonality in liquidity 1996Market microstructure and asset pricing: On the compensation for illiquidity in stock returns

Cited by

2014Connected Stocks 2012Illiquidity or credit deterioration: A study of liquidity in the US corporate bond market during financial crises 2012Private Equity Performance and Liquidity Risk 2010The liquidity risk of liquid hedge funds 2017Pension Fund Asset Allocation and Liability Discount Rates 2011Hedge funds as liquidity providers: Evidence from the Lehman bankruptcy

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2010Econometric Measures of Systemic Risk in the Finance and Insurance Sectorsreport · 12 shared references 2010The liquidity risk of liquid hedge fundsarticle · 12 shared references 2013Do Hedge Funds Supply or Demand Liquidity?article · 12 shared references 2017Tail risk in hedge funds: A unique view from portfolio holdingsarticle · 11 shared references 2008Crises and Hedge Fund Riskpreprint · 11 shared references 2012Hedge Fund Liquidity and Performance: Evidence from the Financial Crisisarticle · 11 shared references

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Year2010

Typearticle

Published2010-05-12

VenueJournal of Financial Economics

ISSN-L0304-405X

Languageen

Citations421

Files0 public / 0

ShelfFinancial Markets and Investment Strategies

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doi10.1016/j.jfineco.2010.05.001

openalex_workW3124789409

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2012

On the High‐Frequency Dynamics of Hedge Fund Risk Exposures

2011Do hedge funds' exposures to risk factors predict their future returns?