Get 20M+ Full-Text Papers For Less Than $1.50/day. Start a 14-Day Trial for You or Your Team.

Learn More →

Size and value effects in equity hedge funds

Size and value effects in equity hedge funds Contrary to the findings in mutual funds, both size and value effects appear in equity hedge funds. Small-cap/value funds outperform large-cap/growth funds. Both asset and share liquidity measures show that small-cap/value funds manage less liquid assets and are more likely to have lockup restrictions than large-cap/growth funds. Furthermore, small-cap/value funds earn more benefits from using lockups than large-cap/growth funds. In part, lockups are helpful for small-cap/value funds by mitigating a fire-sale risk during crisis periods. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png Investment Analysts Journal Taylor & Francis

Size and value effects in equity hedge funds

Kim, Jung-Min
Investment Analysts Journal , Volume 45 (sup1): 15 – Oct 28, 2016
Download PDF

Size and value effects in equity hedge funds

Kim, Jung-Min
Investment Analysts Journal , Volume 45 (sup1): 15 – Oct 28, 2016

Abstract

Contrary to the findings in mutual funds, both size and value effects appear in equity hedge funds. Small-cap/value funds outperform large-cap/growth funds. Both asset and share liquidity measures show that small-cap/value funds manage less liquid assets and are more likely to have lockup restrictions than large-cap/growth funds. Furthermore, small-cap/value funds earn more benefits from using lockups than large-cap/growth funds. In part, lockups are helpful for small-cap/value funds by mitigating a fire-sale risk during crisis periods.

Loading next page...
 
/lp/taylor-francis/size-and-value-effects-in-equity-hedge-funds-L00JIIxKb9

References

References for this paper are not available at this time. We will be adding them shortly, thank you for your patience.

Publisher
Taylor & Francis
Copyright
© 2016 Investment Analysts Society of South Africa
ISSN
2077-0227
eISSN
1029-3523
DOI
10.1080/10293523.2016.1175074
Publisher site
See Article on Publisher Site

Abstract

Contrary to the findings in mutual funds, both size and value effects appear in equity hedge funds. Small-cap/value funds outperform large-cap/growth funds. Both asset and share liquidity measures show that small-cap/value funds manage less liquid assets and are more likely to have lockup restrictions than large-cap/growth funds. Furthermore, small-cap/value funds earn more benefits from using lockups than large-cap/growth funds. In part, lockups are helpful for small-cap/value funds by mitigating a fire-sale risk during crisis periods.

Journal

Investment Analysts Journal – Taylor & Francis

Published: Oct 28, 2016

Keywords: Size effect; value effect; equity hedge fund; lockup; G11; G14; G23

References

  • Share restrictions and asset pricing: Evidence from the hedge fund industry
  • Value and momentum everywhere
  • Do hedge funds’ exposures to risk factors predict their future returns?
  • Macroeconomic risk and hedge fund returns
  • The relationship between return and market value of common stocks
  • Market liquidity and funding liquidity
  • On persistence in mutual fund performance
  • On mutual fund investment styles
  • Derivatives use and risk taking: Evidence from the hedge fund industry
  • Asset fire sales (and purchases) in equity markets
  • Mutual fund performance and manager style
  • The cross-section of expected stock returns
  • Common risk factors in the returns on stocks and bonds
  • Size, value, and momentum in international stock returns
  • A five-factor asset pricing model
  • Performance characteristics of hedge funds and commodity funds: Natural vs
  • Hedge fund benchmarks: A risk-based approach
  • Measurement biases in hedge fund performance data: An update
  • The risk in hedge fund strategies: Theory and evidence from long/short equity hedge funds
  • An econometric model of serial correlation and illiquidity in hedge fund returns
  • Sifting through the wreckage: Lessons from recent hedge-fund liquidations
  • How smart are the smart guys? A unique view from hedge fund stock holdings
  • Do investors capture the value premium?
  • Illiquidity premia in asset returns: An empirical analysis of hedge funds, mutual funds, and US equity portfolios
  • Failure risk and the cross-section of hedge fund returns
  • Evaluating and predicting the failure probabilities of hedge funds
  • Share restrictions, liquidity premium and offshore hedge funds
  • Book-to-market across firm size, exchange, and seasonality: Is there an effect?
  • The measurement of urban travel demand
  • Where is the value premium?
  • Momentum and post-earnings-announcement drift anomalies: The role of liquidity risk
  • Liquidity risk and the cross-section of hedge-fund returns
  • The search for an exploitable value premium in market indexes