The liquidity risk of liquid hedge funds

• Main Author: TEO, Melvyn
• Format: text
• Language: English
• Published: Institutional Knowledge at Singapore Management University 2010
• Subjects: Hedge funds; liquidity risk; funding liquidity; asset-liability mismatch; Finance and Financial Management; Portfolio and Security Analysis
• Online Access: https://ink.library.smu.edu.sg/lkcsb_research/5326; https://ink.library.smu.edu.sg/context/lkcsb_research/article/6325/viewcontent/liquidity_paperXVI.pdf
• Institution: Singapore Management University

This paper evaluates hedge funds that grantfavorable redemption terms to investors. Within this group of purportedlyliquid funds, high net inflow funds subsequently outperform low net inflowfunds by 4.79% per year after adjusting for risk. The return impact of fundflows is stronger when funds embrac...