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 hedge funds that are exposed to the flow-driven...

We use a unique data set of hedge fund long equity and equity option positions to investigate a significant lockup-related premium earned during the Tech Bubble and Financial Crisis. Net fund flows are significantly greater among lockup funds during crisis and non-crisis periods. Managers of...

We examine liquidity transformation by funds of hedge funds (FoFs) by developing a new measure, illiquidity gap, which captures the mismatch between the liquidity of their portfolios and the liquidity available to their investors. We find that higher liquidity transformation is driven by FoFs'...

We find a negative relation between hedge fund manager’s personal income tax rates and fund performance. Using changes in tax deferral regulation or state-level tax rates suggest causality in the tax-performance relation. Managers are less likely to hold stocks with greater information...

We find that hedge funds’ ETF option positions predict cross-sectional differences in the future volatility of underlying ETFs. The predictive power is strongest for straddle positions and non-equity ETFs. A tracking portfolio of straddles based on funds’ straddle positions earns quarterly...

We study a sample of Form 13F filings where fund advisors seek confidential treatment for some, or all, of their 13(f)-reportable positions. Consistent with the hypothesis that managers seek confidentiality to protect proprietary information we find that confidential positions earn positive and...