"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 …

increases because investors' exogenous, idiosyncratic liquidity shocks are not diversified away. Using confidential regulatory … cash and liquid assets, which help absorb large, unexpected outflows. Such funds have to pay a liquidity premium and …

We examine the funding liquidity risk of funds of hedge funds (FoFs) by proposing a new measure, illiquidity gap, which … captures the mismatch between the liquidity of a FoF's portfolio and the liquidity offered to its own investors. We find that …

This paper demonstrates that liquidity risk as measured by the covariation of fund returns with unexpected changes in … aggregate liquidity is an important predictor of hedge-fund performance. The results show that funds that significantly load on … liquidity risk subsequently outperform low-loading funds by about 6.5% annually, on average, over the period 1994-2009, while …

This paper demonstrates that liquidity risk as measured by the covariation of fund returns with unexpected changes in … aggregate liquidity is an important predictor of hedge-fund performance. The results show that funds that significantly load on … liquidity risk subsequently outperform low-loading funds by about 6.5% annually, on average, over the period 1994-2009, while …

The management of a liquid asset portfolio that can be used to generate counterbalancing capacity in liquidity distress … is quickly emerging as a core function in banks. The new Basel III liquidity risk regulation underscores the importance … in banks managing a liquidity contingency buffer. The focus is on maintaining a high quality liquidity portfolio that can …

This paper demonstrates that liquidity risk as measured by the covariation of fund returns with unexpected changes in … aggregate liquidity is an important determinant in the cross- section of hedge-fund returns. The results show that funds that … significantly load on liquidity risk subsequently outperform low-loading funds by about 6% annually, on average, over the period …