An econometric model of serial correlation and illiquidity in hedge fund returns
نویسندگان
چکیده
منابع مشابه
An econometric model of serial correlation and illiquidity in hedge fund returns
The returns to hedge funds and other alternative investments are often highly serially correlated. In this paper, we explore several sources of such serial correlation and show that the most likely explanation is illiquidity exposure and smoothed returns. We propose an econometric model of return smoothing and develop estimators for the smoothing profile as well as a smoothing-adjusted Sharpe r...
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ژورنال
عنوان ژورنال: Journal of Financial Economics
سال: 2004
ISSN: 0304-405X
DOI: 10.1016/j.jfineco.2004.04.001