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An econometric model of serial correlation and illiquidity in hedge fund returns

Getmansky, Mila; Lo, Andrew W.; Makarov, Igor - In: Journal of financial economics 74 (2004) 3, pp. 529-609

Persistent link: https://www.econbiz.de/10002439293

Illiquidity premia in asset returns : an empirical analysis of hedge funds, mutual funds, and US equity portfolios

Khandani, Amir E.; Lo, Andrew W. - In: The quarterly journal of finance 1 (2011) 2, pp. 205-264

Persistent link: https://www.econbiz.de/10009309753

An econometric model of serial correlation and illiquidity in hedge fund returns

Getmansky, Mila; Lo, Andrew W.; Makarov, Igor - 2003

Persistent link: https://www.econbiz.de/10001748919

What happened to the quants in August 2007? : evidence from factors and transactions data

Khandani, Amir E.; Lo, Andrew W. - 2008

Persistent link: https://www.econbiz.de/10003778778

Illiquidity Premia in Asset Returns : An Empirical Analysis of Hedge Funds, Mutual Funds, and U.S. Equity Portfolios

Khandani, Amir - 2009

We establish a link between illiquidity and positive autocorrelation in asset returns among a sample of hedge funds, mutual funds, and various equity portfolios. For hedge funds, this link can be confirmed by comparing the return autocorrelations of funds with shorter vs. longer...

Persistent link: https://www.econbiz.de/10013158586