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Liquidity risk and the cross-section of hedge-fund returns☆
16 references·16 citing·25 second hopsampled
Liquidity risk and the cross-section of hedge-fund returns☆ (2010)Liquidity risk and the cross-section of h…Pricing the commonality across alternative measures of liquidity (2007)Pricing the commonality acros…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 Empirical Analysis of Stock and Bond Market Liquidity (2004)An Empirical Analysis of Stoc…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…Commonality in liquidity (2000)Commonality in liquidityEmpirical Characteristics of Dynamic Trading Strategies: The Case of Hedge Funds (1997)Empirical Characteristics of …Market microstructure and asset pricing: On the compensation for illiquidity in stock returns (1996)Market microstructure and ass…Common risk factors in the returns on stocks and bonds (1993)Common risk factors in the re…Asset pricing and the bid-ask spread (1986)Asset pricing and the bid-ask…Risk, Return, and Equilibrium: Empirical Tests (1973)Risk, Return, and Equilibrium…The price effects of liquidity shocks: A study of the SEC’s tick size experiment (2020)The price effects of liquidit…Large data sets and machine learning: Applications to statistical arbitrage (2019)Large data sets and machine l…Alpha or beta in the eye of the beholder: What drives hedge fund flows? (2018)Alpha or beta in the eye of t…Tail risk in hedge funds: A unique view from portfolio holdings (2017)Tail risk in hedge funds: A u…Pension Fund Asset Allocation and Liability Discount Rates (2017)Pension Fund Asset Allocation…An Asset Pricing Approach to Liquidity Effects in Corporate Bond Markets (2017)An Asset Pricing Approach to …Uncertainty, market structure, and liquidity (2014)Uncertainty, market structure…Risk Measures for Autocorrelated Hedge Fund Returns (2014)Risk Measures for Autocorrela…Connected Stocks (2014)Connected StocksSystematic risk and the cross section of hedge fund returns (2012)Systematic risk and the cross…Private Equity Performance and Liquidity Risk (2012)Private Equity Performance an…On the High‐Frequency Dynamics of Hedge Fund Risk Exposures (2012)On the High‐Frequency Dynamic…Illiquidity or credit deterioration: A study of liquidity in the US corporate bond market during financial crises (2012)Illiquidity or credit deterio…Hedge funds as liquidity providers: Evidence from the Lehman bankruptcy (2011)Hedge funds as liquidity prov…Do hedge funds' exposures to risk factors predict their future returns? (2011)Do hedge funds' exposures to …The liquidity risk of liquid hedge funds (2010)The liquidity risk of liquid …CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Cross-Section of Expected Stock Returns (1992)A five-factor asset pricing model (2014)The relationship between return and market value of common stocks (1981)The theory and practice of econometrics (1986)Investor Sentiment and the Cross‐Section of Stock Returns (2006)The Pricing of Options and Corporate Liabilities (1973)Role of Managerial Incentives and Discretion in Hedge Fund Performance (2009)The Behavior of Stock-Market Prices (1965)THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.] (1975)The Performance of Mutual Funds in the Period 1945-1964 (1968)THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–1964 (1968)Mutual Fund Performance: An Analysis of Quarterly Portfolio Holdings (1989)Hedge Funds and the Technology Bubble (2004)Continuous Auctions and Insider Trading (1985)Liquidity, Information, and Infrequently Traded Stocks (1996)Liquidity and stock returns: An alternative test (1998)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Market Liquidity and Funding Liquidity (2008)Editor's Choice Digesting Anomalies: An Investment ApproachOn Persistence in Mutual Fund Performance (1997)Liquidity and leverage (2008)Market Liquidity and Trading Activity (2001)Market liquidity as a sentiment indicator (2004)Do liquidity measures measure liquidity?☆ (2009)
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References

  • 1993Common risk factors in the returns on stocks and bonds26,615 cited
  • 1973Risk, Return, and Equilibrium: Empirical Tests14,248 cited
  • 2002Illiquidity and stock returns: cross-section and time-series effects10,008 cited
  • 2003Liquidity Risk and Expected Stock Returns5,362 cited
  • 1986Asset pricing and the bid-ask spread5,087 cited
  • 2005Asset pricing with liquidity risk2,816 cited
  • 2000Commonality in liquidity1,748 cited
  • 1996Market microstructure and asset pricing: On the compensation for illiquidity in stock returns1,555 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
  • 2004An Empirical Analysis of Stock and Bond Market Liquidity900 cited

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  • 2007Pricing the commonality across alternative measures of liquidity585 cited
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    • 2014Connected Stocks374 cited
    • 2012Illiquidity or credit deterioration: A study of liquidity in the US corporate bond market during financial crises372 cited
    • 2012Private Equity Performance and Liquidity Risk260 cited
    • 2010The liquidity risk of liquid hedge funds236 cited
    • 2017Pension Fund Asset Allocation and Liability Discount Rates233 cited
    • 2011Hedge funds as liquidity providers: Evidence from the Lehman bankruptcy228 cited
    • 2012On the High‐Frequency Dynamics of Hedge Fund Risk Exposures217 cited
    • 2011Do hedge funds' exposures to risk factors predict their future returns?208 cited
    • 2014Risk Measures for Autocorrelated Hedge Fund Returns193 cited
    • 2012Systematic risk and the cross section of hedge fund returns193 cited
    • 2014Uncertainty, market structure, and liquidity187 cited
    • 2017Tail risk in hedge funds: A unique view from portfolio holdings158 cited
    • 2020The price effects of liquidity shocks: A study of the SEC’s tick size experiment128 cited
    • 2018Alpha or beta in the eye of the beholder: What drives hedge fund flows?126 cited
    • 2017An Asset Pricing Approach to Liquidity Effects in Corporate Bond Markets123 cited
    • 2019Large data sets and machine learning: Applications to statistical arbitrage118 cited