econometric model of serial correlation and illiquidity in hedge fund returns

Econometric model of serial correlation and illiquidity in hedge fund returns by Mila Getmansky Download PDF EPUB FB2

Regardless of the particular mechanism by which hedge-fund returns are smoothed and serial correlation is induced, the common theme and underlying driver is illiquidity exposure. In this paper, we develop an explicit econometric model of smoothed returns and derive its.

Time-varying leverage. Another possible source of serial correlation in hedge-fund returns is time-varying leverage.

Since leverage directly affects the expected return of any investment strategy, this can be considered a special case of the time-varying expected returns model of Section Specifically, if L t denotes a hedge fund's leverage ratio, then the actual return R t o of the Cited by:   Getmansky Sherman, Mila and Lo, Andrew W.

and Makarov, Igor, An Econometric Model of Serial Correlation and Illiquidity in Hedge Fund Returns (March 1, ). MIT Sloan Working Paper No.

; MIT Laboratory for Financial Engineering Working Paper No. LFEA; EFMA Helsinki by: Get this from a library. An econometric model of serial correlation and illiquidity in hedge fund returns.

[Mila Getmansky; Andrew W Lo; Igor Makarov; National Bureau of Economic Research.]. Published: Getmansky, Mila, Andrew W. Lo and Igor Makarov. "An Econometric Model Of Serial Correlation And Illiquidity In Hedge Fund Returns," Journal of Financial Economics,v74(3,Dec), citation courtesy of.

Users who downloaded this paper also downloaded* these:Cited by: Getmansky, Mila & Lo, Andrew W. & Makarov, Igor, "An econometric model of serial correlation and illiquidity in hedge fund returns," Journal of Financial. Get this from a library. An econometric model of serial correlation and illiquidity in hedge fund returns.

[Mila Getmansky; Andrew W Lo; Igor Makarov; National Bureau of Economic Research.] -- Abstract: The returns to hedge funds and other alternative investments are often highly serially correlated in sharp contrast to the returns of more traditional investment vehicles such as long-only.

Request PDF | An Econometric Model of Serial Correlation and Illiquidity in Hedge Fund Returns | The returns to hedge funds and other alternative investments are often highly serially correlated.

An econometric model of serial correlation and illiquidity in hedge fund likely explanation is illiquidity exposure and smoothed returns. We propose an econometric model of return smoothing and develop estimators for the smoothing profile as well as a smoothing-adjusted Sharpe ratio. For a sample of hedge funds drawn from the TASS.

Downloadable. The returns to hedge funds and other alternative investments are often highly serially correlated in sharp contrast to the returns of more traditional investment vehicles such as long-only equity portfolios and mutual funds.

In this paper, we explore several sources of such serial correlation and show that the most likely explanation is illiquidity exposure, i.e., investments in. An Econometric Model of Serial Correlation and Illiquidity In Hedge Fund Returns Abstract.

The returns to hedge funds and other alternative investments are often highly serially correlated in sharp contrast to the returns of more traditional investment vehicles such as long-only equity portfolios and mutual funds. We propose an. BibTeX @ARTICLE{Getmansky04aneconometric, author = {Mila Getmansky and Andrew W.

Lo and Igor Makarov}, title = {An Econometric Model of Serial Correlation and Illiquidity in Hedge Fund Returns}, journal = {Journal of Financial Economics}, year = {}, pages = {}}. Review of Econometric Models Applicable to Hedge Fund Returns Capturing Serial Correlation and Illiquidity Article in SSRN Electronic Journal October with 91 Reads How we measure 'reads'.

Journal Article: An econometric model of serial correlation and illiquidity in hedge fund returns () Working Paper: An Econometric Model of Serial Correlation and Illiquidity in Hedge Fund Returns () This item may be available elsewhere in EconPapers: Search for.

An Econometric Model of Serial Correlation and Illiquidity In Hedge Fund Returns The returns to hedge funds and other alternative investments are often highly serially correlated in sharp contrast to the returns of more traditional investment vehicles such as long-only equity portfolios and mutual funds.

We propose an econometric model. The returns to hedge funds and other alternative investments are often highly serially correlated in sharp contrast to the returns of more traditional investment vehicles such as long-only equity portfolios and mutual funds.

In this paper, we explore several sources of such serial correlation and show that the most likely explanation is illiquidity exposure, i.e., investments in securities. An Econometric Model of Serial Correlation and Illiquidity. Therefore, although our formal econometric model of illiquidity is similar to those in the nonsynchronous tradingliterature, the motivation is smoothed returns can explain both serial correlation in hedge-fund returns and correlation between hedge-fund returns and lagged index returns, and our.

An Econometric Model of Serial Correlation and Illiquidity in Hedge Fund Returns. By Mila Getmansky, The returns to hedge funds and other alternative investments are often highly serially correlated in sharp contrast to the returns of more traditional investment vehicles such as long-only equity portfolios and mutual funds.

In this paper. An Econometric Model of Serial Correlation and Illiquidity In Hedge Fund Returns Mila Getmansky, Andrew W.

Lo, and Igor Makarov Abstract The returns to hedge funds and other alternative investments are often highly serially cor-related, in sharp contrast to the returns.

An Econometric Model of Serial Correlation and Illiquidity in Hedge Fund Returns. Mila Getmansky Sherman, Andrew W. Lo, Igor Makarov; Economics; ; Risk and Expected Returns of Private Equity Investments: Evidence Based on Market Prices. Narasimhan Jegadeesh, Roman Kraeussl, Joshua M.

.An Econometric Model of Serial Correlation and Illiquidity in Hedge-Fund Returns Getmansky, Mila, Andrew W. Lo, and Igor Makarov (), An Econometric Model of Serial Correlation and Illiquidity in Hedge Fund Returns, Journal of Financial Economics 74 (3), –“ An Econometric Model of Serial Correlation and Illiquidity in Hedge Fund Returns.” Journal of Financial Economics, 74 (), – Greene, W.

Econometric Analysis, 5th ed. Englewood Cliffs, NJ: Prentice Hall ().