Illiquidity Premia in Asset Returns: An Empirical Analysis of Hedge Funds, Mutual Funds, and US Equity Portfolios
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DOI: 10.1142/S2010139211000080
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- Eduard Baitinger & Christian Fieberg & Thorsten Poddig & Armin Varmaz, 2015. "Liquidity-driven approach to dynamic asset allocation: evidence from the German stock market," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 29(4), pages 365-379, November.
- Ghent, Andra C., 2021.
"What’s wrong with Pittsburgh? Delegated investors and liquidity concentration,"
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- Andra C. Ghent, 2019. "What's Wrong with Pittsburgh? Delegated Investors and Liquidity Concentration," NBER Working Papers 25966, National Bureau of Economic Research, Inc.
- Bussière, Matthieu & Hoerova, Marie & Klaus, Benjamin, 2015.
"Commonality in hedge fund returns: Driving factors and implications,"
Journal of Banking & Finance, Elsevier, vol. 54(C), pages 266-280.
- Bussiere, M. & Hoerova, M. & Klaus, B., 2012. "Commonality in hedge fund returns: driving factors and implications," Working papers 373, Banque de France.
- Bussière, Matthieu & Hoerova, Marie & Klaus, Benjamin, 2014. "Commonality in hedge fund returns: driving factors and implications," Working Paper Series 1658, European Central Bank.
- 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.
- Abidi, Nordine & Miquel-Flores, Ixart, 2018. "Who benefits from the corporate QE? A regression discontinuity design approach," Working Paper Series 2145, European Central Bank.
- 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.
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- Roberto Casarin & Domenico Sartore & Marco Tronzano, 2018. "A Bayesian Markov-Switching Correlation Model for Contagion Analysis on Exchange Rate Markets," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 36(1), pages 101-114, January.
- Masset, Philippe & Weisskopf, Jean-Philippe, 2018. "Wine indices in practice: Nicely labeled but slightly corked," Economic Modelling, Elsevier, vol. 68(C), pages 555-569.
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Keywords
Liquidity; illiquidity; hedge funds; mutual funds; equity premium; market microstructure;All these keywords.
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