Title:

Liquidity risk and hedge fund performance evaluation

Group publication title:

Financial Sciences. Nauki o Finansach

Title in english:

Ryzyko płynności i ocena wyników inwestycyjnych funduszy hedgingowych

Creator:

Horne, Richard Van

Subject and Keywords:

liquidity risk ; liquidity factor ; alpha ratio ; hedge fund performance ; ryzyko płynności ; czynnik ryzyka płynności ; współczynnik alfa ; wyniki funduszy hedgingowych

Description:

Financial Sciences. Nauki o Finansach, 2021, vol. 26, no. 2, s. 102-125

Abstrakt:

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.

Publisher:

Wydawnictwo Uniwersytetu Ekonomicznego we Wrocławiu

Place of publication:

Wrocław

Date:

2021

Resource Type:

artykuł

Resource Identifier:

doi:10.15611/fins.2021.2.06

Language:

eng

Relation:

Financial Sciences. Nauki o Finansach, 2021, vol. 26, no. 2

Rights:

Pewne prawa zastrzeżone na rzecz Autorów i Wydawcy

Access Rights:

Dla wszystkich zgodnie z licencją

License:

CC BY-SA 4.0

Location:

Uniwersytet Ekonomiczny we Wrocławiu