@misc{Horne_Richard_Van_Liquidity_2021,
 author={Horne, Richard Van},
 identifier={DOI: 10.15611/fins.2021.2.06},
 year={2021},
 rights={Pewne prawa zastrzeżone na rzecz Autorów i Wydawcy},
 publisher={Wydawnictwo Uniwersytetu Ekonomicznego we Wrocławiu},
 description={Financial Sciences. Nauki o Finansach, 2021, vol. 26, no. 2, s. 102-125},
 language={eng},
 abstract={In this article the author uses two models, a lagged-effects model and a serial correlation model, which identify potential liquidity risk in hedge fund portfolios. From the serial correlation model a liquidity risk factor was developed and added to a multi-factor equilibrium model in order to re-estimate Alpha across a universe of hedge funds. It was found that much of what passes for fund Alpha in a multi-factor risk model lacking a liquidity risk factor is actually a compensation for bearing liquidity risk in the context of a model that includes the innovative liquidity risk factor. This result has implications for both a pre-investment due diligence and a manager selection as well as the postinvestment fund performance evaluation and risk management.},
 title={Liquidity risk and hedge fund performance evaluation},
 type={artykuł},
 keywords={liquidity risk, liquidity factor, alpha ratio, hedge fund performance, ryzyko płynności, czynnik ryzyka płynności, współczynnik alfa, wyniki funduszy hedgingowych},
}