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 … dramatically for six out of ten hedge fund style-based portfolios once we account for liquidity risk. Hence, for most hedge fund …

Sample covariance matrices tend to underestimate the risk of optimized portfolios. In this article, we identify special …

Risk forecasting is crucial for informed investment decision-making. Moreover, the salience of investment risk … increases during economically uncertain times. In this paper, we study how sell-side analysts form expectations of firm risk … use of quantitative/qualitative information improves their forecasts as predictors of firm risk. Together, our results …