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...

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Bibliografische gegevens
Hoofdauteurs: Li, S, Patton, A
Formaat: Working paper
Taal:English
Gepubliceerd in: Oxford-Man Institute of Quantitative Finance 2007