Liquidity Transformation and Financial Fragility: Evidence from Funds of Hedge Funds

被引：11
作者：
Agarwal, Vikas [1 ]
Aragon, George O. [2 ]
Shi, Zhen [1 ]
机构：
[1] Georgia State Univ, Robinson Coll Business, Atlanta, GA 30303 USA
[2] Arizona State Univ, Carey Sch Business, Tempe, AZ 85287 USA
来源：
JOURNAL OF FINANCIAL AND QUANTITATIVE ANALYSIS | 2019年 / 54卷 / 06期
关键词：
CROSS-SECTION; RISK; STOCK; DEBT; CRISIS;
D O I：
10.1017/S0022109018001369
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
We examine liquidity transformation by funds of hedge funds (FoFs) by developing a new measure, illiquidity gap, that captures the mismatch between the liquidity of their portfolios and the liquidity available to their investors. We find that higher liquidity transformation is driven by FoFs' incentives to attract more capital and earn higher compensation. Greater liquidity transformation is associated with higher exposure to investor runs and worse performance during crisis periods. Finally, FoFs mitigate the risks associated with liquidity transformation by maintaining higher cash buffers.
引用
收藏
页码：2355 / 2381
页数：27
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