Liquidity Transformation and Financial Fragility: Evidence from Funds of Hedge Funds

被引：9
|
作者：
Agarwal, Vikas [1 ]
Aragon, George O. [2 ]
Shi, Zhen [1 ]
机构：
[1] Georgia State Univ, Robinson Coll Business, Atlanta, GA 30303 USA
[2] Arizona State Univ, Carey Sch Business, Tempe, AZ 85287 USA
来源：
JOURNAL OF FINANCIAL AND QUANTITATIVE ANALYSIS | 2019年 / 54卷 / 06期
关键词：
CROSS-SECTION; RISK; STOCK; DEBT; CRISIS;
D O I：
10.1017/S0022109018001369
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
We examine liquidity transformation by funds of hedge funds (FoFs) by developing a new measure, illiquidity gap, that captures the mismatch between the liquidity of their portfolios and the liquidity available to their investors. We find that higher liquidity transformation is driven by FoFs' incentives to attract more capital and earn higher compensation. Greater liquidity transformation is associated with higher exposure to investor runs and worse performance during crisis periods. Finally, FoFs mitigate the risks associated with liquidity transformation by maintaining higher cash buffers.
引用
收藏
页码：2355 / 2381
页数：27
相关论文
共 50 条
  • [1] Hedge funds as liquidity providers: Evidence from the Lehman bankruptcy
    Aragon, George O.
    Strahan, Philip E.
    [J]. JOURNAL OF FINANCIAL ECONOMICS, 2012, 103 (03) : 570 - 587
  • [2] A liquidity haircut for hedge funds
    Nelken, I
    [J]. QUANTITATIVE FINANCE, 2003, 3 (04) : C69 - C70
  • [3] Liquidity Risk and Economies of Scale in Funds of Hedge Funds
    Shawky, Hany A.
    Wang, Ying
    [J]. JOURNAL OF ALTERNATIVE INVESTMENTS, 2014, 17 (02): : 51 - 67
  • [4] The Value of Funds of Hedge Funds: Evidence from Their Holdings
    Aiken, Adam L.
    Clifford, Christopher P.
    Ellis, Jesse
    [J]. MANAGEMENT SCIENCE, 2015, 61 (10) : 2415 - 2429
  • [5] Hedge funds and discretionary liquidity restrictions
    Aiken, Adam L.
    Clifford, Christopher P.
    Ellis, Jesse A.
    [J]. JOURNAL OF FINANCIAL ECONOMICS, 2015, 116 (01) : 197 - 218
  • [6] The liquidity risk of liquid hedge funds
    Teo, Melvyn
    [J]. JOURNAL OF FINANCIAL ECONOMICS, 2011, 100 (01) : 24 - 44
  • [7] Investor Protection and Capital Fragility: Evidence from Hedge Funds around the World
    Aragon, George O.
    Nanda, Vikram
    Zhao, Haibei
    [J]. REVIEW OF FINANCIAL STUDIES, 2021, 34 (03): : 1368 - 1407
  • [8] Does diversity of derivatives use affect fund performance? Evidence from hedge funds and funds of hedge funds
    Peltomaki, Jarkko
    [J]. MANAGERIAL FINANCE, 2013, 39 (08) : 756 - 786
  • [9] Costs and benefits of financial conglomerate affiliation: Evidence from hedge funds
    Franzoni, Francesco
    Giannetti, Mariassunta
    [J]. JOURNAL OF FINANCIAL ECONOMICS, 2019, 134 (02) : 355 - 380
  • [10] Can hedge funds time market liquidity?
    Cao, Charles
    Chen, Yong
    Liang, Bing
    Lo, Andrew W.
    [J]. JOURNAL OF FINANCIAL ECONOMICS, 2013, 109 (02) : 493 - 516
12345