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Liquidity Risk, Return Predictability, and Hedge Funds' Performance: An Empirical Study

Authors
Wang, Songtao
Published in Journal of Financial and Quantitative Analysis. 2013, vol. 48, no. 1, p. 219-244
Abstract In equity hedge fund portfolios, the authors observe that prior to accounting for liquidity risk, portfolios that incorporate predictability in management skills achieve superior performance. After liquidity risk is accounted for, outperformance weakens in emerging market, event-driven, and long–short hedge funds. Equity market neutral and long–short alphas partly consist of fees or rents for their service as liquidity providers.
Keywords Hedge fundsLiquidity riskPredictabilityRents for liquidity provisionManagerial skills
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GIBSON BRANDON, Rajna Nicole, WANG, Songtao. Liquidity Risk, Return Predictability, and Hedge Funds' Performance: An Empirical Study. In: Journal of Financial and Quantitative Analysis, 2013, vol. 48, n° 1, p. 219-244. https://archive-ouverte.unige.ch/unige:75152

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Deposited on : 2015-09-13

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