Object

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

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.

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

Resource Identifier:

doi:10.15611/nof.2016.2.05 ; oai:dbc.wroc.pl:36810

Language:

eng

Relation:

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

Access Rights:

Dla wszystkich zgodnie z licencją

License:

CC BY-NC-ND 3.0 PL

Location:

Uniwersytet Ekonomiczny we Wrocławiu

Object collections:

Last modified:

Oct 29, 2019

In our library since:

May 26, 2017

Number of object content hits:

356

All available object's versions:

https://www.dbc.wroc.pl/publication/40622

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