"Hedge funds often impose lockups and notice periods to limit the ability of investors to withdraw capital. We model the investor's decision to withdraw capital as a real option and treat lockups and notice periods as exercise restrictions. Our methodology incorporates time-varying probabilities of hedge fund failure and optimal early exercise. We estimate a two-year lockup with a three-month notice period costs approximately 1% of the initial investment for an investor with constant relative risk aversion utility and risk aversion of three. The cost of illiquidity can easily exceed 10% if the hedge fund manager can arbitrarily suspend withdrawals." Copyright (c) 2010 Financial Management Association International..
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A lockup period for investment in a hedge fund is a time period after making the investment during w...
We propose a model for a manager of a hedge fund with a liquidity constraint, where he is seeking to...
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This paper investigates dynamically optimal risk-taking by an expected-utility maximizing manager of...
We propose a model for a manager of a hedge fund with a liquidity constraint, where he is seeking to...
This paper investigates dynamically optimal risk-taking by an expected-utility maximizing manager of...
The ability of hedge fund investors to exit a fund by exchanging ownership for cash at the prevailin...
A lockup period for investment in a hedge fund is a time period after making the investment during w...
We propose a model for a manager of a hedge fund with a liquidity constraint, where he is seeking to...
A lockup period for investment in a hedge fund is a time period after making the investment during w...
We exploit the expiring nature of hedge fund lockups to create a new measure of funding liquidity ri...
Liquidity constraints imposed to shareholders of investment funds, also known as lock-up periods, re...
Hedge funds are increasingly becoming a popular alternative investment vehicle. They are much more f...
Hedge funds report performance information voluntarily. When they stop reporting they are transferre...
This study examines the impact of liquidity risk on the behavior of the competitive firm under price...
This paper demonstrates that liquidity risk as measured by the covariation of fund returns with unex...
This paper examines how hedge funds manage their liquidity risk by responding to the aggregate liqui...
This paper examines the impact of liquidity risk on the behavior of the competi-tive firm under pric...
This paper investigates dynamically optimal risk-taking by an expected-utility maximizing manager of...
We propose a model for a manager of a hedge fund with a liquidity constraint, where he is seeking to...
This paper investigates dynamically optimal risk-taking by an expected-utility maximizing manager of...