Hedge Fund Return Dependence: Model Misspecification or Liquidity Spirals?
检验了对冲基金指数收益中过滤掉经济基本面后的过度依赖性，主要源于模型设定错误还是流动性螺旋，结果支持模型设定错误假说。
We test whether model misspecification or liquidity spirals primarily explain the observed excess dependence in filtered (for economic fundamentals) hedge fund index returns and the links between volatility, liquidity shocks, and hedge fund return clustering. Evidence supports the model misspecification hypothesis: i) hedge fund filtered return clustering is symmetric, ii) filtered Short Bias fund returns exhibit negative dependence with filtered returns for other hedge fund types, iii) negative liquidity shocks are associated with clustering in both tails and market volatility subsumes the role of negative liquidity shocks, and iv) these same patterns appear in size-sorted equity portfolios.