This article analyzes the effect of liquidity risk on the performance of various hedge fund portfolio strategies. Similarly to Avramov et al. (2007), we find that, before accounting for the effect of liquidity risk, hedge fund portfolios that incorporate predictability in managerial skills...

In this paper, we study if the risk associated with innovations in economic policy uncertainty (EPU), that is, EPU risk, is priced in the cross section of hedge fund returns. Based on decile portfolios sorted on the EPU beta, we show that EPU risk commands a significantly negative premium of...

This article analyzes the effect of liquidity risk on the performance of equity hedge fund portfolios. Similarly to Avramov, Kosowski, Naik, and Teo, we observe that, before accounting for the effect of liquidity risk, hedge fund portfolios that incorporate predictability in managerial skills...