Brandon, Rajna Gibson; Wang, Songtao - In: Journal of Financial and Quantitative Analysis 48 (2013) 01, pp. 219-244
This article analyzes the effect of liquidity risk on the performance of equity hedge fund portfolios. Similarly to Avramov, Kosowski, Naik, and Teo (<xref>2007</xref>), (2011), we observe that, before accounting for the effect of liquidity risk, hedge fund portfolios that incorporate predictability in...