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| Tekijä: | Aragon, G.O. |
| Otsikko: | Share restrictions and asset pricing: Evidence from the hedge fund industry |
| Lehti: | Journal of Financial Economics
2007 : JAN, VOL. 83:1, p. 33-58 |
| Asiasana: | financial markets hedging funds performance appraisal liquidity transaction costs |
| Vapaa asiasana: | lockups |
| Kieli: | eng |
| Tiivistelmä: | This article shows that there is a relation found between hedge fund returns and restrictions imposed by funds limiting the liquidity of fund investors. In comparison with nonlockup funds, the annual excess returns of funds with lockup restrictions are approximately 4-7% higher. After controlling for lockups and other share restrictions, all funds have negative or insignificant alpha. There is found to be a negative relation between share restrictions and the liquidity of the fund's portfolio. Thus, share restrictions seem to allow funds to efficiently manage illiquid assets. Investors capture these benefits as a share illiquidity premium. |
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