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| Tekijä: | Getmansky, M. Lo, A. W. Makarov, I. |
| Otsikko: | An econometric model of serial correlation and illiquidity in hedge fund returns |
| Lehti: | Journal of Financial Economics
2004 : DEC, VOL. 74:3, p. 529-609 |
| Asiasana: | Hedging Liquidity Market efficiency |
| Kieli: | eng |
| Tiivistelmä: | This article explores several sources of serial correlation in the returns to hedge funds and shows that the most likely explanation is illiquidity exposure and smoothed funds. The writers propose an econometric model of return smoothing and develop estimators for the smoothing profile as well as a smoothing-adjusted Sharpe ratio. |
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