Title:

Liquidity Risk Measurement for Mutual Funds Investing in Less-Liquid Assets

Group publication title:

Financial Sciences. Nauki o Finansach

Title in english:

Miary oceny ryzyka płynności funduszy inwestycyjnych. Zastosowanie modelu korelacji z procesem AR(1) oraz modelu z efektami opóźnionymi

Creator:

Van Horne, Richard H.

Subject and Keywords:

liquidity risk ; mutual funds ; serial correlation ; lagged effects ; ryzyko płynności ; fundusz inwestycyjny ; model korelacji z procesem AR(1) ; model z efektami opóźnionymi

Description:

Nauki o Finansach = Financial Sciences, 2016, Nr 2 (27), s. 65-79

Abstrakt:

I apply two models from the existing academic literature to assess liquidity risk in groups of mutual funds as well as in individual high yield mutual funds. These models are a serial correlation model with an AR(1) process and a lagged effects model. These models were most recently applied in the field of hedge fund research to measure liquidity risk and to evaluate the performance of aggregated groups of hedge funds, organized by investment strategy. I apply these models in the recently developing area of liquid alternative mutual funds and at the level of the individual mutual fund. A perceived benefit to investors in the liquid alternative funds is the structural, daily-redemption liquidity of the fund shares. Yet, the liquidity of the underlying securities portfolios held by these funds is not apparent to the investors and may expose the investor to heightened liquidity risk. The models perform well and will be applied to identify liquidity risk in a further ongoing study of the performance and liquidity of individual mutual funds. Liquidity risk assessment should play a vital role in performance evaluation and fund selection

Publisher:

Wydawnictwo Uniwersytetu Ekonomicznego we Wrocławiu

Place of publication:

Wrocław

Date:

2016

Resource Type:

artykuł

Format:

application/pdf

Resource Identifier:

doi:10.15611/nof.2016.2.05

Language:

eng

Relation:

Nauki o Finansach = Financial Sciences, 2016, Nr 2 (27)

Rights:

Pewne prawa zastrzeżone na rzecz Autorów i Wydawcy

Access Rights:

Dla wszystkich zgodnie z licencją

License:

CC BY-NC-ND 3.0 PL

Location:

Uniwersytet Ekonomiczny we Wrocławiu