scholarly journals Funding Liquidity Risk: Definition and Measurement

2009 ◽  
Author(s):  
Mathias Drehmann ◽  
Kleopatra Nikolaou
Keyword(s):  
Liquidity Risk ◽  
Funding Liquidity ◽  
Risk Definition

scholarly journals Funding liquidity risk: Definition and measurement

2013 ◽  
Vol 37 (7) ◽  
pp. 2173-2182 ◽  
Author(s):  
Mathias Drehmann ◽  
Kleopatra Nikolaou
Keyword(s):  
Liquidity Risk ◽  
Funding Liquidity ◽  
Risk Definition

Funding Liquidity Risk and the Dynamics of Hedge Fund Lockups

2016 ◽  
Author(s):  
Adam L. Aiken ◽  
Christopher P. Clifford ◽  
Jesse A. Ellis ◽  
Qiping Huang
Keyword(s):  
Hedge Fund ◽  
Liquidity Risk ◽  
Funding Liquidity

scholarly journals Funding Liquidity Risk in a Quantitative Model of Systemic Stability

2009 ◽  
Author(s):  
David Aikman ◽  
Piergiorgio Alessandri ◽  
Bruno Eklund ◽  
Prasanna Gai ◽  
Sujit Kapadia ◽  
...  
Keyword(s):  
Liquidity Risk ◽  
Quantitative Model ◽  
Funding Liquidity

Funding Liquidity Risk and the Dynamics of Hedge Fund Lockups

2020 ◽  
pp. 1-29
Author(s):  
Adam L. Aiken ◽  
Christopher P. Clifford ◽  
Jesse A. Ellis ◽  
Qiping Huang
Keyword(s):  
Hedge Funds ◽  
Regression Discontinuity ◽  
Hedge Fund ◽  
Liquidity Risk ◽  
Causal Link ◽  
Regression Discontinuity Design ◽  
Control Variables ◽  
Funding Liquidity ◽  
And Control ◽  
Funding Risk

Abstract We exploit the expiring nature of hedge fund lockups to create a new measure of funding liquidity risk that varies within funds. We find that hedge funds with lower funding risk generate higher returns, and this effect is driven by their increased exposure to equity-mispricing anomalies. Our results are robust to a variety of sampling criteria, variable definitions, and control variables. Further, we address endogeneity concerns in various ways, including a placebo approach and regression discontinuity design. Collectively, our results support a causal link between funding risk and the ability of managers to engage in risky arbitrage.

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