hedge funds provide liquidity in asset markets …

Market liquidity is complex to measure empirically. This explains why there is no consensus about performance ratios … adjusted to its risk. We summarize market liquidity by two major characteristics: a costly one because of the loss of … indicators are proposed to integrate, to a certain extent, market liquidity risk, especially for hedge funds investment …

collection of illiquid markets. It is shown that markets may become disrupted in response to a relatively small liquidity shock … for liquidity …

"liquidity cushion" (e.g. Scholes 2000; Duffie and Ziegler 2003; Brown, Carlin, and Lobo 2010). Consistently, hedge funds …' portfolio composition shows a delayed "flight to liquidity'': the proportion of hedge funds' liquid stock holdings decreased …

This paper provides evidence on the interaction between hedge funds' performance and their market liquidity risk and … funding liquidity risk. We demonstrate that funding liquidity risk is an important determinant of hedge fund performance …. Hedge funds with high loadings on the funding liquidity factor underperform low-loading funds by about 2.47% (11 …

This paper examines the funding liquidity faced by hedge funds and the resulting implication for stocks' excess return … funding liquidity constraints …

of the Sharpe Ratio (i.e., the standard deviation) to include liquidity risk, a major risk for investors in hedge funds … that is missing from the standard Sharpe Ratio formulation. We refer to our liquidity-risk-adjusted performance ratio as … the LRAPR. The results of our analysis of 1186 hedge funds alive in 2012-2020 show that funds with higher liquidity risk …