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 …

world. We show that even in this market exposure to liquidity risk commands a non-trivial risk premium of up to 3.6% per … annum. In particular, systematic and currency-specific liquidity risk are not subsumed by existing risk factors and … successfully price the cross-section of currency returns. However, we also find that liquidity and carry trade premia are …