Illiquidity Premia in Asset Returns: An Empirical Analysis of Hedge Funds, Mutual Funds, and US Equity Portfolios
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 redemption-notice pe...
| Main Authors: | , |
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| Other Authors: | , |
| Format: | Article |
| Language: | English |
| Published: |
World Scientific,
2014-06-13T17:22:56Z.
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| Subjects: | |
| Online Access: | Get fulltext |