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Working paper

Time-varying liquidity in hedge fund returns.

Abstract:

We propose a method for determining the factors that affect the (unobservable) liquidity of hedge fund investments. Our method exploits the link between illiquidity and serial correlation in hedge fund returns established by Getmansky, Lo and Makarov (2004), and does not require information on the actual positions taken by the hedge fund, nor even the 'style' of the hedge fund; we use only the returns reported by the hedge fund and other easily observed information. Using a panel of monthly r...

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Volume:
2007OMI04
Series:
Working Papers
Publication date:
2007-05-30
URN:
uuid:61d1e45e-345f-4f4c-bca1-cb3d560d4e52
Local pid:
oai:economics.ouls.ox.ac.uk:13040
Language:
English

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