The secondary market for hedge funds and the closed hedge fund premium

Ramadorai, Tarun (2012) The secondary market for hedge funds and the closed hedge fund premium. The Journal of Finance, 67 (2). pp. 479-512.

Abstract

Rational theories of the closed-end fund premium puzzle highlight fund share and asset illiquidity, managerial ability, and fees as important determinants of the premium. Several of these attributes are difficult to measure for mutual funds, and easier to measure for hedge funds. This paper employs new data from a secondary market for hedge funds, discovers a closed-hedge fund premium that is highly correlated with the closed-end mutual fund premium, and shows that the closed-hedge fund premium is well explained by variables suggested by rational theories. Sentiment-based explanations do not find support in the data.

Item Type: Article
Keywords: Hedge funds; Mutual funds; Closed-end fund discount; Liquidity; Alpha; finance
Subject(s): Finance
Date Deposited: 01 Apr 2012 13:06
Last Modified: 02 Mar 2017 11:51
Funders: N/A
URI: http://eureka.sbs.ox.ac.uk/id/eprint/3079

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