Investor concerns surrounding the COVID-19 pandemic triggered large fund outflows from prime institutional money market funds (PIFs) during March 2020. This episode highlights the continued susceptibility of such funds to financial market stress. In this paper we present novel evidence on the...

This paper provides evidence on the interaction between hedge funds' performance and their market liquidity risk and funding liquidity risk. We demonstrate that funding liquidity risk is an important determinant of hedge fund performance. Hedge funds with high loadings on the funding liquidity...