The dynamics of hedge fund share restrictions
Author
Abstract
Suggested Citation
DOI: 10.1016/j.jbankfin.2014.08.002
Download full text from publisher
As the access to this document is restricted, you may want to search for a different version of it.
References listed on IDEAS
- Aragon, George O. & Strahan, Philip E., 2012. "Hedge funds as liquidity providers: Evidence from the Lehman bankruptcy," Journal of Financial Economics, Elsevier, vol. 103(3), pages 570-587.
- Getmansky, Mila & Lo, Andrew W. & Makarov, Igor, 2004.
"An econometric model of serial correlation and illiquidity in hedge fund returns,"
Journal of Financial Economics, Elsevier, vol. 74(3), pages 529-609, December.
- Getmansky, Mila & Lo, Andrew & Makarov, Igor, 2003. "An Econometric Model of Serial Correlation and Illiquidity In Hedge Fund Returns," Working papers 4288-03, Massachusetts Institute of Technology (MIT), Sloan School of Management.
- Mila Getmansky & Andrew W. Lo & Igor Makarov, 2003. "An Econometric Model of Serial Correlation and Illiquidity in Hedge Fund Returns," NBER Working Papers 9571, National Bureau of Economic Research, Inc.
- Brennan, Michael J. & Subrahmanyam, Avanidhar, 1996. "Market microstructure and asset pricing: On the compensation for illiquidity in stock returns," Journal of Financial Economics, Elsevier, vol. 41(3), pages 441-464, July.
- Markus K. Brunnermeier & Lasse Heje Pedersen, 2009.
"Market Liquidity and Funding Liquidity,"
The Review of Financial Studies, Society for Financial Studies, vol. 22(6), pages 2201-2238, June.
- Brunnermeier, Markus & Pedersen, Lasse Heje, 2007. "Market Liquidity and Funding Liquidity," CEPR Discussion Papers 6179, C.E.P.R. Discussion Papers.
- Lasse Heje Pederson & Markus K Brunnermeier, 2007. "Market Liquidity and Funding Liquidity," FMG Discussion Papers dp580, Financial Markets Group.
- Brunnermeier, Markus K. & Pedersen, Lasse Heje, 2007. "Market liquidity and funding liquidity," LSE Research Online Documents on Economics 24478, London School of Economics and Political Science, LSE Library.
- Markus K. Brunnermeier & Lasse Heje Pedersen, 2007. "Market Liquidity and Funding Liquidity," NBER Working Papers 12939, National Bureau of Economic Research, Inc.
- Jongha Lim & Berk A. Sensoy & Michael S. Weisbach, 2016.
"Indirect Incentives of Hedge Fund Managers,"
Journal of Finance, American Finance Association, vol. 71(2), pages 871-918, April.
- Jongha Lim & Berk A. Sensoy & Michael S. Weisbach, 2013. "Indirect Incentives of Hedge Fund Managers," NBER Working Papers 18903, National Bureau of Economic Research, Inc.
- Lim, Jongha & Sensoy, Berk A. & Weisbach, Michael S., 2013. "Indirect Incentives of Hedge Fund Managers," Working Paper Series 2013-06, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
- Agarwal, Vikas & Lu, Yan & Ray, Sugata, 2014. "Under one roof: A study of simultaneously managed hedge funds and funds of hedge funds," CFR Working Papers 14-13, University of Cologne, Centre for Financial Research (CFR).
- Vikas Agarwal & Naveen D. Daniel & Narayan Y. Naik, 2009. "Role of Managerial Incentives and Discretion in Hedge Fund Performance," Journal of Finance, American Finance Association, vol. 64(5), pages 2221-2256, October.
- William N. Goetzmann & Jonathan E. Ingersoll & Stephen A. Ross, 2003.
"High‐Water Marks and Hedge Fund Management Contracts,"
Journal of Finance, American Finance Association, vol. 58(4), pages 1685-1718, August.
- William Goetzmann & Jonathan Ingersoll & Stephen Ross, 1998. "High-Water Marks and Hedge Fund Management Contracts," Yale School of Management Working Papers ysm81, Yale School of Management, revised 01 Aug 2001.
- William N. Goetzmann & Jonathan E. Ingersoll Jr. & Stephen A. Ross, 2001. "High-Water Marks and Hedge Fund Management Contracts," Yale School of Management Working Papers ysm186, Yale School of Management.
- William Goetzmann & Jonathan Ingersoll & Stephen Ross, 1998. "High-Water Marks and Hedge Fund Management Contracts," Yale School of Management Working Papers ysm81, Yale School of Management, revised 01 Aug 2001.
- Sadka, Ronnie, 2010. "Liquidity risk and the cross-section of hedge-fund returns," Journal of Financial Economics, Elsevier, vol. 98(1), pages 54-71, October.
- Carhart, Mark M, 1997. "On Persistence in Mutual Fund Performance," Journal of Finance, American Finance Association, vol. 52(1), pages 57-82, March.
- Pastor, Lubos & Stambaugh, Robert F., 2003.
"Liquidity Risk and Expected Stock Returns,"
Journal of Political Economy, University of Chicago Press, vol. 111(3), pages 642-685, June.
- Luboš Pástor & Robert F. Stambaugh, "undated". "Liquidity Risk and Expected Stock Returns," CRSP working papers 531, Center for Research in Security Prices, Graduate School of Business, University of Chicago.
- Lubos Pastor & Robert F. Stambaugh, 2001. "Liquidity Risk and Expected Stock Returns," NBER Working Papers 8462, National Bureau of Economic Research, Inc.
- Stambaugh, Robert F. & Pástor, Luboš, 2002. "Liquidity Risk and Expected Stock Returns," CEPR Discussion Papers 3494, C.E.P.R. Discussion Papers.
- Amihud, Yakov & Mendelson, Haim, 1986. "Asset pricing and the bid-ask spread," Journal of Financial Economics, Elsevier, vol. 17(2), pages 223-249, December.
- Teo, Melvyn, 2011. "The liquidity risk of liquid hedge funds," Journal of Financial Economics, Elsevier, vol. 100(1), pages 24-44, April.
- Fung, William & Hsieh, David A., 2000. "Performance Characteristics of Hedge Funds and Commodity Funds: Natural vs. Spurious Biases," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 35(3), pages 291-307, September.
- Nicole M. Boyson & Christof W. Stahel & René M. Stulz, 2010. "Hedge Fund Contagion and Liquidity Shocks," Journal of Finance, American Finance Association, vol. 65(5), pages 1789-1816, October.
- Agarwal, Vikas & Daniel, Naveen D. & Naik, Narayan Y., 2009. "Role of managerial incentives and discretion in hedge fund performance," CFR Working Papers 04-04, University of Cologne, Centre for Financial Research (CFR).
- Andrew Ang & Nicolas P.B. Bollen, 2010.
"Locked Up by a Lockup: Valuing Liquidity as a Real Option,"
Financial Management, Financial Management Association International, vol. 39(3), pages 1069-1096, September.
- Andrew Ang & Nicolas P.B. Bollen, 2010. "Locked Up by a Lockup: Valuing Liquidity as a Real Option," NBER Working Papers 15937, National Bureau of Economic Research, Inc.
- Aragon, George O., 2007. "Share restrictions and asset pricing: Evidence from the hedge fund industry," Journal of Financial Economics, Elsevier, vol. 83(1), pages 33-58, January.
- repec:bla:jfinan:v:59:y:2004:i:5:p:1979-2012 is not listed on IDEAS
- Lan, Yingcong & Wang, Neng & Yang, Jinqiang, 2013. "The economics of hedge funds," Journal of Financial Economics, Elsevier, vol. 110(2), pages 300-323.
- Itzhak Ben-David & Francesco Franzoni & Rabih Moussawi, 2012. "Hedge Fund Stock Trading in the Financial Crisis of 2007--2009," The Review of Financial Studies, Society for Financial Studies, vol. 25(1), pages 1-54.
- Kolokolova, Olga, 2011. "Strategic behavior within families of hedge funds," Journal of Banking & Finance, Elsevier, vol. 35(7), pages 1645-1662, July.
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- Yang, Fan & Havranek, Tomas & Irsova, Zuzana & Novak, Jiri, 2022.
"Hedge Fund Performance: A Quantitative Survey,"
EconStor Preprints
260612, ZBW - Leibniz Information Centre for Economics.
- Fan Yang & Tomas Havranek & Zuzana Irsova & Jiri Novak, 2022. "Hedge Fund Performance: A Quantitative Survey," Working Papers IES 2022/15, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised Jun 2022.
- Yang, Fan & Havranek, Tomas & Irsova, Zuzana & Novak, Jiri, 2022. "Hedge Fund Performance: A Quantitative Survey," CEPR Discussion Papers 17417, C.E.P.R. Discussion Papers.
- Rodrigo Fernandes Malaquias & Gleison de Abreu Pontes, 2018. "Liquidity Restrictions on Investment Funds: Are they a Response to Behavioral Bias?," Brazilian Business Review, Fucape Business School, vol. 15(4), pages 382-390, July.
- Yang, Fan & Havranek, Tomas & Irsova, Zuzana & Novak, Jiri, 2024.
"Where Have All the Alphas Gone? A Meta-Analysis of Hedge Fund Performance,"
EconStor Preprints
289497, ZBW - Leibniz Information Centre for Economics.
- Fan Yang & Tomas Havranek & Zuzana Irsova & Jiri Novak, 2024. "Where Have All the Alphas Gone? A Meta-Analysis of Hedge Fund Performance," Working Papers IES 2024/15, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised Apr 2024.
- Yang, Fan & Havranek, Tomas & Irsova, Zuzana & Novak, Jiri, 2024. "Where Have All the Alphas Gone? A Meta-Analysis of Hedge Fund Performance," CEPR Discussion Papers 18979, C.E.P.R. Discussion Papers.
- Yang, Fan & Havranek, Tomas & Irsova, Zuzana & Novak, Jiri, 2024. "Where Have All the Alphas Gone? A Meta-Analysis of Hedge Fund Performance," MetaArXiv ps2yn, Center for Open Science.
- Stafylas, Dimitrios & Andrikopoulos, Athanasios, 2020. "Determinants of hedge fund performance during ‘good’ and ‘bad’ economic periods," Research in International Business and Finance, Elsevier, vol. 52(C).
- Ravi Kashyap, 2024. "The Democratization of Wealth Management: Hedged Mutual Fund Blockchain Protocol," Papers 2405.02302, arXiv.org, revised Jul 2024.
- Hong, Xin & Pang, Ningjing & Wang, Zhibin, 2022. "Stop-loss early termination clause and hedge fund performance," Pacific-Basin Finance Journal, Elsevier, vol. 75(C).
- Cumming, Douglas & Dai, Na & Johan, Sofia, 2020. "Dodd-Franking the hedge Funds," Journal of Banking & Finance, Elsevier, vol. 119(C).
- Ze-To, Samuel Yau Man, 2016. "Asset liquidity and stock returns," Advances in accounting, Elsevier, vol. 35(C), pages 177-196.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Andrew W. Lo & Mila Getmansky & Peter A. Lee, 2015.
"Hedge Funds: A Dynamic Industry in Transition,"
Annual Review of Financial Economics, Annual Reviews, vol. 7(1), pages 483-577, December.
- Mila Getmansky & Peter A. Lee & Andrew W. Lo, 2015. "Hedge Funds: A Dynamic Industry In Transition," NBER Working Papers 21449, National Bureau of Economic Research, Inc.
- Schaub, Nic & Schmid, Markus, 2013. "Hedge fund liquidity and performance: Evidence from the financial crisis," Journal of Banking & Finance, Elsevier, vol. 37(3), pages 671-692.
- Aiken, Adam L. & Clifford, Christopher P. & Ellis, Jesse A., 2015. "Hedge funds and discretionary liquidity restrictions," Journal of Financial Economics, Elsevier, vol. 116(1), pages 197-218.
- Hany A. Shawky & Ying Wang, 2017. "Can Liquidity Risk Explain Diseconomies of Scale in Hedge Funds?," Quarterly Journal of Finance (QJF), World Scientific Publishing Co. Pte. Ltd., vol. 7(02), pages 1-35, June.
- Agarwal, Vikas & Ruenzi, Stefan & Weigert, Florian, 2017.
"Tail risk in hedge funds: A unique view from portfolio holdings,"
Journal of Financial Economics, Elsevier, vol. 125(3), pages 610-636.
- Agarwal, Vikas & Ruenzi, Stefan & Weigert, Florian, 2015. "Tail risk in hedge funds: A unique view from portfolio holdings," CFR Working Papers 15-07, University of Cologne, Centre for Financial Research (CFR).
- Agarwal, Vikas & Ruenzi, Stefan & Weigert, Florian, 2015. "Tail Risk in Hedge Funds: A Unique View from Portfolio Holdings," Working Papers on Finance 1508, University of St. Gallen, School of Finance.
- Aragon, George O. & Martin, J. Spencer & Shi, Zhen, 2019. "Who benefits in a crisis? Evidence from hedge fund stock and option holdings," Journal of Financial Economics, Elsevier, vol. 131(2), pages 345-361.
- Teo, Melvyn, 2011. "The liquidity risk of liquid hedge funds," Journal of Financial Economics, Elsevier, vol. 100(1), pages 24-44, April.
- Hwang, Inchang & Xu, Simon & In, Francis & Kim, Tong Suk, 2017. "Systemic risk and cross-sectional hedge fund returns," Journal of Empirical Finance, Elsevier, vol. 42(C), pages 109-130.
- Mathias S. Kruttli & Phillip J. Monin & Sumudu W. Watugala, 2017.
"Investor Concentration, Flows, and Cash Holdings: Evidence from Hedge Funds,"
Working Papers
17-07, Office of Financial Research, US Department of the Treasury.
- Mathias S. Kruttli & Phillip J. Monin & Sumudu W. Watugala, 2017. "Investor Concentration, Flows, and Cash Holdings : Evidence from Hedge Funds," Finance and Economics Discussion Series 2017-121, Board of Governors of the Federal Reserve System (U.S.).
- Agarwal, Vikas & Aragon, George O. & Shi, Zhen, 2015. "Funding liquidity risk of funds of hedge funds: Evidence from their holdings," CFR Working Papers 15-12, University of Cologne, Centre for Financial Research (CFR).
- Daniel Barth & Phillip Monin, 2020. "Illiquidity in Intermediate Portfolios: Evidence from Large Hedge Funds," Working Papers 20-03, Office of Financial Research, US Department of the Treasury.
- Petri Jylhä & Kalle Rinne & Matti Suominen, 2014. "Do Hedge Funds Supply or Demand Liquidity?," Review of Finance, European Finance Association, vol. 18(4), pages 1259-1298.
- Chen, Honghui & Kumar, Alok & Lu, Yan & Singh, Ajai, 2022. "Do Hedge Fund Managers Understand Politics? Political Sensitivity and Investment Skill," Journal of Banking & Finance, Elsevier, vol. 135(C).
- William Fung & David Hsieh & Narayan Naik & Melvyn Teo, 2021. "Hedge Fund Franchises," Management Science, INFORMS, vol. 67(2), pages 1199-1226, February.
- Benoît Dewaele, 2013. "Leverage and Alpha: The Case of Funds of Hedge Funds," Working Papers CEB 13-033, ULB -- Universite Libre de Bruxelles.
- Agarwal, Vikas & Green, T. Clifton & Ren, Honglin, 2018. "Alpha or beta in the eye of the beholder: What drives hedge fund flows?," Journal of Financial Economics, Elsevier, vol. 127(3), pages 417-434.
- Turan G. Bali & Florian Weigert, 2018. "Have Hedge Funds Solved the Idiosyncratic Volatility Puzzle?," Working Papers on Finance 1827, University of St. Gallen, School of Finance.
- Guillermo Baquero & Marno Verbeek, 2022.
"Hedge Fund Flows and Performance Streaks: How Investors Weigh Information,"
Management Science, INFORMS, vol. 68(6), pages 4151-4172, June.
- Guillermo Baquero & Marno Verbeek, 2015. "Hedge fund flows and performance streaks: How investors weigh information," ESMT Research Working Papers ESMT-15-01, ESMT European School of Management and Technology.
- Lu, Yan & Ray, Sugata & Teo, Melvyn, 2016. "Limited attention, marital events and hedge funds," Journal of Financial Economics, Elsevier, vol. 122(3), pages 607-624.
- Canepa, Alessandra & de la O. González, María & Skinner, Frank S., 2020.
"Hedge fund strategies: A non-parametric analysis,"
International Review of Financial Analysis, Elsevier, vol. 67(C).
- Canepa, Alessandra & de la O. González, María & Skinner, Frank S., 2019. "Hedge Fund Strategies: A non-Parametric Analysis," Department of Economics and Statistics Cognetti de Martiis. Working Papers 201902, University of Turin.
More about this item
Keywords
Hedge funds; Share restrictions; Asset liquidity;All these keywords.
JEL classification:
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- G23 - Financial Economics - - Financial Institutions and Services - - - Non-bank Financial Institutions; Financial Instruments; Institutional Investors
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:jbfina:v:49:y:2014:i:c:p:82-99. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/locate/jbf .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.