kaal:claim:2748096-035

Once liquidity risk is incorporated into the analysis, the superior performance previously attributed to predictability in managerial skills disappears in hedge fund portfolios.

Source quote, verbatim

They find that the outperformance previously attributed to predictability in managerial skills disappears in hedge fund portfolios when accounting for liquidity risk.

From

Wulf A. Kaal, Timothy A. Krause, Hedge Funds and Systemic Risk (2016), POST-CRISIS EVIDENCE ON THE SYSTEMIC RISK OF HEDGE FUNDS, p. 15
https://ssrn.com/abstract=2748096 · source PDF

Cite as

Wulf A. Kaal, Timothy A. Krause, Hedge Funds and Systemic Risk (2016). SSRN: https://ssrn.com/abstract=2748096

Holds when

hedge fund portfolios formed on predictability in managerial skill

Classification

failuresupport: evidencedfailure: skill premium vanishes under liquidity riskfamily: measurement-and-metric-failuredefirisk-and-incentives

Verify

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