Liquidity Risk, Return Predictability, and Hedge Funds’ Performance: An Empirical Study
研究了流动性风险对股票型对冲基金组合业绩的影响，发现考虑流动性风险后，基于经理技能可预测性的超额收益在多数新兴市场、事件驱动及多空组合中消失或减弱，且市场中性及多空组合的阿尔法包含流动性提供服务的租金。
Abstract This article analyzes the effect of liquidity risk on the performance of equity hedge fund portfolios. Similarly to Avramov, Kosowski, Naik, and Teo (2007), (2011), we observe that, before accounting for the effect of liquidity risk, hedge fund portfolios that incorporate predictability in managerial skills generate superior performance. This outperformance disappears or weakens substantially for most emerging markets, event-driven, and long/short hedge fund portfolios once we account for liquidity risk. Moreover, we show that the equity market-neutral and long/short hedge fund portfolios’ “alphas” also entail rents for their service as liquidity providers. These results hold under various robustness tests.