TY - GEN
A1 - Horne, Richard Van
PB - Wydawnictwo Uniwersytetu Ekonomicznego we Wrocławiu
N2 - In this article the author uses two models, a lagged-effects model and a serial correlation model, which identify potential liquidity risk in hedge fund portfolios. From the serial correlation model a liquidity risk factor was developed and added to a multi-factor equilibrium model in order to re-estimate Alpha across a universe of hedge funds. It was found that much of what passes for fund Alpha in a multi-factor risk model lacking a liquidity risk factor is actually a compensation for bearing liquidity risk in the context of a model that includes the innovative liquidity risk factor. This result has implications for both a pre-investment due diligence and a manager selection as well as the postinvestment fund performance evaluation and risk management.
L1 - http://www.dbc.wroc.pl/Content/116433/Horne_Liquidity_risk_and_hedge_fund_performance_evaluation.pdf
CY - Wrocław
L2 - http://www.dbc.wroc.pl/Content/116433
KW - liquidity risk
KW - liquidity factor
KW - alpha ratio
KW - hedge fund performance
KW - ryzyko płynności
KW - czynnik ryzyka płynności
KW - współczynnik alfa
KW - wyniki funduszy hedgingowych
T1 - Liquidity risk and hedge fund performance evaluation
UR - http://www.dbc.wroc.pl/dlibra/publication/edition/116433
T2 - Ryzyko płynności i ocena wyników inwestycyjnych funduszy hedgingowych
ER -