Share restrictions and asset pricing: Evidence from the hedge fund industry

By George O. Aragon. 2007

472 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/dc2f62f5949ea70c8573cead0754c56292f7e789

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Citations in the corpus

Pairs trading in the UK equity market: risk and return (2016, unknown): “These alphas can also be interpreted as estimates of risk adjusted returns of portfolios which have no aggregate market liquidity exposure (Aragon (2007)).”
Systematic Risk and the Cross-Section of Hedge Fund Returns (2012, unknown): “In particular, as shown in Panel E, neither the redemption period, the minimum investment amount, nor the dummy for lockup variable (which are used by Aragon (2007) to measure illiquidity of hedge fund portfolios), have any predictive power over future fund returns.”
Capacity Constraints and Hedge Fund Strategy Returns (2007, methodology): “We also follow the methodology in Getmansky (2004), and control for the number of funds within a strategy in the prior year, as a proxy for competition between funds in the strategy.”
Do the Best Hedge Funds Hedge (2011, unknown): “Most notably, Aragon (2007) finds that funds with longer lockup periods generate superior performance, which is consistent with the idea that these funds are able to generate abnormal performance by taking less liquid positions.”
The Geography of Hedge Funds (2009, background): “Finally, as argued by Aragon (2007), funds with longer redemption periods may take on greater liquidity risk and achieve higher expected returns.”
The Liquidity Risk of Liquid Hedge Funds (2011, background): “Aragon (2007) argues that share restrictions allow hedge fund managers to efficiently manage illiquid assets and those benefits are captured by investors in the form of a share illiquidity premium. Our analysis suggests that hedge funds do not always choose to use share restrictions to manage system”
Derivatives Use and Risk Taking: Evidence from the Hedge Fund Industry (2011, unknown): “In accordance with Goetzmann, Ingersoll, and Ross (2003), the fund flow-performance relation tends to be concave. However, investors in derivatives-using funds do not appear to respond differently to fund performance. One explanation is that investors, who receive similar net-of-fee performance, are”
"Momentum Strategies in Futures Markets and Trend-following Funds" (2013, unknown): “The unconditionally negative (though insignificant) fund flow effect that we document is consistent with Berk and Green (2004), Naik, Ramadorai and Stromqvist (2007), Aragon (2007) and Ding, Getmansky, Liang and Wermers (2009). These findings hold for all asset classes, including commodities-based m”
On the High Frequency Dynamics of Hedge Fund Risk Exposures (2013, unknown): “id = g (Z) = i (d; ) + Zd 1 + Z d 1; (11)”
Liquidity Risk and the Cross-Section of Hedge-Fund Returns (2010, background): “The results in Aragon (2007) for 1994 2001 continue to hold throughout 2008.”
Value at Risk and the Cross-Section of Hedge Fund Returns (2007, methodology): “Furthermore, Bali and Gokcan (2004) estimate VaR for hedge fund portfolios using the thin-tailed normal distribution, the fat-tailed generalized error distribution, the Cornish–Fisher (CF, 1937) expansion, and the extreme value theory (EVT) based approach of Bali (2003) that considers higher-order m”
The Road Less Traveled: Strategy Distinctiveness and Hedge Fund Performance (2012, methodology): “Then, following Aragon (2007), we filter out non-monthly filing funds, funds denoted in a currency other than US dollars, and funds with unknown strategies, leaving us with 8,808 unique funds.”
Conditional Return Smoothing in the Hedge Fund Industry (2008, result): “This result is consistent with Aragon (2004), who finds that restrictions on shareholder activity are more common in younger hedge funds, and are positively related to the level of smoothing.”
Corporate governance and hedge fund activism (2011, unknown): “11 See, for example, Agarwal and Naik (2004), Aragon (2007) , Baquero et al. (2005), Brown et al. (2001), and Fung and Hsieh (2001).”