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- W2030088000 abstract "This paper demonstrates that liquidity risk as measured by the covariation of fund returns with unexpected changes in aggregate liquidity is an important determinant in the cross-section of hedge-fund returns. The results show that funds that significantly load on liquidity risk subsequently outperform low-loading funds by about 6% annually, on average, over the period 1994-2008, while negative performance is observed during periods of significant liquidity crises. The returns are independent of the liquidity a fund provides to its investors as measured by lockup and redemption notice periods, and are also robust to commonly used hedge-fund factors, none of which carries a significant premium during the sample period. These findings highlight the importance of understanding systematic liquidity variations in the evaluation of hedge-fund performance." @default.
- W2030088000 created "2016-06-24" @default.
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- W2030088000 date "2010-01-01" @default.
- W2030088000 modified "2023-09-23" @default.
- W2030088000 title "Liquidity Risk and the Cross-Section of Hedge-Fund Returns" @default.
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- W2030088000 doi "https://doi.org/10.2139/ssrn.1982112" @default.
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