This paper demonstrates that liquidity risk as measured by the covariation of fund returns with unexpected changes in … aggregate liquidity is an important determinant in the cross- section of hedge-fund returns. The results show that funds that … significantly load on liquidity risk subsequently outperform low-loading funds by about 6% annually, on average, over the period …

risk map. The purpose of our study is to advocate two additional dimensions that incorporate liquidity and/or debt capacity … companies face the limited ability to self-resist risk outcomes, due to high debt capacity and high liquidity constraints. We … supports the conclusion that the level of liquidity and debt capacity constraints and thus the ability to retain risk outcomes …