Liquidity Risk and the Cross-Section of Hedge-Fund Returns

By Ronnie Sadka. 2010

351 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/0664dc202fff8897d3553cc6ab6010876dbb7923

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Citations in the corpus

Alpha or Beta in the Eye of the Beholder: What Drives Hedge Fund Flows? (2018, unknown): “6 We include three additional factors (15 total) in the Max R 2 selection process: the return on VIX (RETVIX), the liquidity risk factor (LIQ) of Sadka 4 The model that we refer to as AN model in this paper is different from Agarwal and Naik (2004) model to the extent that they use a stepwise approa”
Tail Risk in Hedge Funds: A Unique View from Portfolio Holdings (2017, background): “…have been shown to influence hedge fund returns including correlation risk (Buraschi, Kosowski, and Trojani, 2014), liquidity risk (Aragon, 2007; Sadka, 2010; Teo, 2011), macroeconomic uncertainty (Bali, Brown, and Caglayan, 2014), volatility risk (Bondarenko, 2004; Agarwal, Bakshi, and Huij,…”
Illiquidity or Credit Deterioration: A Study of Liquidity in the US Corporate Bond Market during Financial Crises (2012, background): “For example, bond mutual funds and hedge funds could face the possibility of redemptions or are forced to meet value-at-risk requirements and margin calls and, therefore, wish to hold more liquid assets to address this eventuality; see, e.g., Sadka (2010).”
Systematic Risk and the Cross-Section of Hedge Fund Returns (2012, unknown): “Sadka (2010) demonstrates that liquidity risk is an important determinant of the cross-sectional differences in hedge fund returns and shows that hedge funds that significantly load on liquidity risk subsequently outperform lowloading funds by an average of 6% annually.”
The Liquidity Risk of Liquid Hedge Funds (2011, background): “This paper builds on seminal work by Sadka (2010), who shows that liquidity risk can explain the cross–section of hedge fund returns.”
Noise as Information for Illiquidity: Noise as Information for Illiquidity (2013, unknown): “Our results also complement studies on hedge fund and carry trade returns.8 For example, Sadka (2010) extracts a liquidity risk factor from the equity market and finds it to be important in explaining hedge fund returns.”
Deep neural networks, gradient-boosted trees, random forests: Statistical arbitrage on the S&P 500 (2017, methodology): “We have annualized the figures provided in Sadka (2010) via continuous compounding.”
Private Equity Performance and Liquidity Risk (2012, unknown): “The Sadka (2006) (also see Sadka (2010)) liquidity measure is a market-wide aggregation of estimated price impact at the stock level.”