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An Econometric Model of Serial Correlation and Illiquidity in Hedge Fund Returns
Getmansky, Mila - 2003
The returns to hedge funds and other alternative investments are often highly serially correlated in sharp contrast to the returns of more traditional investment vehicles such as long-only equity portfolios and mutual funds. In this paper, we explore several sources of such serial correlation...
Persistent link: https://www.econbiz.de/10012469129
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Do Funds-of-Funds Deserve Their Fees-on-Fees?
Ang, Andrew - 2008
Since the after-fee returns of funds-of-funds are, on average, lower than hedge fund returns, it is easy to conclude that funds-of-funds do not add value compared to hedge funds. However, funds-of-funds should not be evaluated relative to hedge fund returns in publicly reported databases....
Persistent link: https://www.econbiz.de/10012464705
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Hedge Funds With Style
Brown, Stephen J. - 2001
The popular perception is that hedge funds follow a reasonably well defined market-neutral investment style. While this long-short investment strategy may have characterized the first hedge funds, today hedge funds are a reasonably heterogeneous group. They are better defined in terms of their...
Persistent link: https://www.econbiz.de/10012470553
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Outside and Inside Liquidity
Bolton, Patrick - 2009
We consider a model of liquidity demand arising from a possible maturity mismatch between asset revenues and … consumption. This liquidity demand can be met with either cash reserves (inside liquidity) or via asset sales for cash (outside … liquidity). The question we address is, what determines the mix of inside and outside liquidity in equilibrium? An important …
Persistent link: https://www.econbiz.de/10012463781
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The Effect of Liquidity on Governance
Edmans, Alex - 2011
This paper studies the effect of stock liquidity on blockholders' choice of governance mechanisms. We focus on hedge … measure governance intent rather than only studying instances of actual governance. We find that liquidity increases the … likelihood that a hedge fund acquires a block in a firm. Conditional upon acquiring a stake, liquidity reduces the likelihood …
Persistent link: https://www.econbiz.de/10012461091
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The Economics of Hedge Funds : Alpha, Fees, Leverage, and Valuation
Lan, Yingcong - 2011
Hedge fund managers are compensated via management fees on the assets under management (AUM) and incentive fees indexed to the high-water mark (HWM). We study the effects of managerial skills (alpha) and compensation on dynamic leverage choices and the valuation of fees and investors' payoffs....
Persistent link: https://www.econbiz.de/10012461815
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Hedge Fund Contagion and Liquidity
Boyson, Nicole M. - 2008
poor performance increases from zero to seven. We investigate how changes in funding and asset liquidity intensify this … expected to affect hedge fund funding liquidity adversely) and when stock market liquidity (a proxy for asset liquidity) is low …
Persistent link: https://www.econbiz.de/10012464578
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Managing Public Investment Funds : Best Practices and New Challenges
Mitchell, Olivia S. - 2008
Large publicly-held pools of assets are playing an increasingly prominent role in the global investment arena. We compare three distinct forms of such public funds, namely foreign exchange reserve funds, sovereign wealth funds, and public pension funds, to highlight their differences and...
Persistent link: https://www.econbiz.de/10012464569
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Do Hedge Funds Profit From Mutual-Fund Distress?
Chen, Joseph - 2008
This paper explores the question of whether hedge funds engage in front-running strategies that exploit the predictable trades of others. One potential opportunity for front-running arises when distressed mutual funds -- those suffering large outflows of assets under management -- are forced to...
Persistent link: https://www.econbiz.de/10012464861
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Slow Moving Capital
Mitchell, Mark - 2007
liquidity demanders rather than providers. The effects on security markets were large and persistent: Prices dropped relative to …
Persistent link: https://www.econbiz.de/10012465779