Using an optimal changepoint approach, we find a structural change in the relation between hedge funds’ stock market exposure and aggregate stock market liquidity that takes place in the period 2000 to 2002. Before the structural break, market betas have no relation to liquidity and only a few...

We study first-mover advantages in the hedge fund industry by clustering hedge funds based on the type of assets and instruments they trade in, sector and investment focus, and fund details. We find that early entry in a cluster is associated with higher excess returns, longer survival, higher...

This paper re-examines the ability of the factor model approach to evaluate the performance of hedge funds. The analysis incorporates traditional asset based factors as well as an array of new and previously studied option based factors and instrumental variables. As hedge fund returns are not...