Share restrictions and asset pricing: Evidence from the hedge fund industry

TL;DR: In this paper, the authors review the theories on how liquidity affects the required returns of capital assets and the empirical studies that test these theories and find the effects of liquidity on asset prices to be statistically significant and economically important, controlling for traditional risk measures and asset characteristics.

TL;DR: This article examined the role of managerial incentives and discretion in hedge fund performance and found that hedge funds with greater managerial incentives, proxied by the delta of the option-like incentive fee contracts, higher levels of managerial ownership, and the inclusion of high-water mark provisions in the incentive contracts, are associated with superior performance.

TL;DR: In this paper, the authors review the theories on how liquidity affects the required returns of capital assets and the empirical studies that test these theories and find the effects of liquidity on asset prices to be statistically significant and economically important, controlling for traditional risk measures and asset characteristics.

TL;DR: This article showed that hedge fund investors withdraw capital three times as intensely as do mutual fund investors in response to poor returns and identified important roles for share liquidity restrictions and institutional ownership in hedge funds.

TL;DR: Using a sample free of survivor bias, this paper showed that common factors in stock returns and investment expenses almost completely explain persistence in equity mutual fund's mean and risk-adjusted returns.

TL;DR: In this article, the authors show that expected market illiquidity positively affects ex ante stock excess return, suggesting that expected stock ex ante excess return partly represents an illiquid price premium, which complements the cross-sectional positive return-illiquidity relationship.

TL;DR: In this paper, the effects of stock illiquidity on stock return have been investigated and it was shown that expected market illiquidities positively affects ex ante stock excess return (usually called risk premium) over time.