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 largecap/growth funds. In part, lockups are helpful for small-cap/value funds by mitigating a fire-sale risk during criis periods.
| Original language | English |
|---|---|
| Pages (from-to) | S17-S31 |
| Journal | Investment Analysts Journal |
| Volume | 45 |
| DOIs | |
| State | Published - 2016 |
Keywords
- Equity hedge fund
- Lockup
- Size effect
- Value effect