Liquidity Risk and Hedge Fund Performance Evaluation
In this article the author uses two models, a lagged-effects model and a serial correlation model, which identify potential liquidity risk in hedge fund portfolios. From the serial correlation model a liquidity risk factor was developed and added to a multi-factor equilibrium model in order to re-es...
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| Main Author: | |
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| Format: | Article |
| Language: | English |
| Published: |
Wydawnictwo Uniwersytetu Ekonomicznego we Wrocławiu
2021-01-01
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| Series: | Nauki o Finansach |
| Online Access: | https://journals.ue.wroc.pl/fins/article/view/224 |
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