Funding Liquidity Risk and the Dynamics of Hedge Fund Lockups
利用对冲基金锁定期到期特性，构建基金内部变化的融资风险指标，发现低融资风险基金因更多利用股票错误定价套利而获得更高收益，支持融资风险与套利能力间的因果关系。
Abstract We exploit the expiring nature of hedge fund lockups to create a new measure of funding liquidity risk that varies within funds. We find that hedge funds with lower funding risk generate higher returns, and this effect is driven by their increased exposure to equity-mispricing anomalies. Our results are robust to a variety of sampling criteria, variable definitions, and control variables. Further, we address endogeneity concerns in various ways, including a placebo approach and regression discontinuity design. Collectively, our results support a causal link between funding risk and the ability of managers to engage in risky arbitrage.