Time-varying liquidity in hedge fund returns.
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 a...
| Hoofdauteurs: | , |
|---|---|
| Formaat: | Working paper |
| Taal: | English |
| Gepubliceerd in: |
Oxford-Man Institute of Quantitative Finance
2007
|