An econometric model of serial correlation and illiquidity in hedge fund returns

Authors :: Getmansky, Mila
Lo, Andrew W.
Makarov, Igor
Source :: Journal of Financial Economics. Dec, 2004, Vol. 74 Issue 3, p529, 81 p.
Publication Year :: 2004
Abstract: An econometric model, which examines the sources that correlate the hedge funds returns and other alternative investments, is proposed.

Subjects :: Investments -- Evaluation
Econometric models -- Usage
Hedge funds -- Analysis
Banking, finance and accounting industries
Business
Economics

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