We show that acceleration, a modified "echo momentum" of Novy-Marx (2012), predicts returns for a large set of financial assets: individual stocks, global equity indices, global sovereign bonds, currencies, mutual funds and hedge funds. This paper extends the results from Ardila-Alvarez et al....

This paper investigates the systematic role of limits to arbitrage in the risk and return profile of hedge funds. We follow He et al. (2017) and define these frictions in financial markets as the shocks to the equity capital ratio of primary dealer counterparties of the New York Federal Reserve....

In this study, we propose a set of covariates that exploit information content of hedge funds' relative size, performance, growth, tail risk, and past liquidation rate, in predicting their liquidation. Empirical results show that our proposed covariates exhibit significant predictive power for...