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The Secondary Market for Hedge Funds and the Closed-Hedge Fund Premium

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Author Info
Ramadorai, Tarun

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Abstract

Employing data from a new secondary market for hedge funds, this paper documents the existence of a closed-hedge fund premium, analogous to the closed-end mutual fund premium which has been extensively studied in the literature. Over the past decade, the two premia comove with one another at high and low frequencies, which is surprising given the numerous differences between the two markets. Rational theories put forward to explain the closed-end mutual fund premium are strongly supported as explanations for the variation in closed-hedge fund premia. These results are robust to correction for potential selection bias.

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Paper provided by C.E.P.R. Discussion Papers in its series CEPR Discussion Papers with number 6877.

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Date of creation: Jun 2008
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Handle: RePEc:cpr:ceprdp:6877

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Related research
Keywords: alpha closed-end funds hedge funds liquidity secondary market

Find related papers by JEL classification:
G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
G12 - Financial Economics - - General Financial Markets - - - Asset Pricing
G23 - Financial Economics - - Financial Institutions and Services - - - Pension Funds; Other Private Financial Institutions

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This page was last updated on 2008-11-7.

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