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
  • [31] Hedge funds
    Fox, PM
    [J]. FORTUNE, 2003, 147 (08) : 30 - 30
  • [32] Hedge Funds
    Seco, Luis A.
    Chen, Fangyuan
    [J]. MATHEMATICS IN FINANCE, 2010, 515 : 47 - 109
  • [33] Determinants of Funds of Hedge Funds' Performance
    Amenc, Noel
    Vaissie, Mathieu
    [J]. JOURNAL OF INVESTING, 2006, 15 (04): : 46 - 52
  • [34] Funds of hedge funds: not the poor cousins of the hedge fund industry
    Hutson, Elaine
    [J]. JASSA-THE FINSIA JOURNAL OF APPLIED FINANCE, 2006, (04): : 22 - 26
  • [35] Hedge funds and hope - Hedge funds deserve allocations.
    Lochoff, R
    [J]. JOURNAL OF PORTFOLIO MANAGEMENT, 2002, 28 (04): : 92 - 99
  • [36] Different in Nature, Common in Style: View Commonality of Single Hedge Funds and Funds of Hedge Funds
    Konstantinov, Gueorgui
    Rebmann, Jonas
    [J]. JOURNAL OF ALTERNATIVE INVESTMENTS, 2020, 23 (02): : 49 - 66
  • [37] The role of hedge funds in the asset pricing: evidence from China
    Zhang, Jing
    Zhang, Wei
    Li, Youwei
    Feng, Xu
    [J]. EUROPEAN JOURNAL OF FINANCE, 2022, 28 (02): : 219 - 243
  • [38] Regulatory induced performance persistence: Evidence from hedge funds
    Cumming, Douglas
    Dai, Na
    Hass, Lars Helge
    Schweizer, Denis
    [J]. JOURNAL OF CORPORATE FINANCE, 2012, 18 (05) : 1005 - 1022
  • [39] Skill, Luck, and the Multiproduct Firm: Evidence from Hedge Funds
    de Figueiredo, Rui J. P., Jr.
    Rawley, Evan
    [J]. MANAGEMENT SCIENCE, 2011, 57 (11) : 1963 - 1978
  • [40] Conditional properties of hedge funds: Evidence from daily returns
    Li, Ying
    Kazemi, Hossein
    [J]. EUROPEAN FINANCIAL MANAGEMENT, 2007, 13 (02) : 211 - 238
12345