Skip to main content

Main menu

  • Home
  • Current Issue
  • Past Issues
  • Videos
  • PA Reports
  • Submit an article
  • More
    • About JAI
    • Editorial Board
    • Published Ahead of Print (PAP)
    • CAIA Member Login
  • IPR Logo
  • About Us
  • Journals
  • Publish
  • Advertise
  • Videos
  • Webinars
  • More
    • Awards
    • Article Licensing
    • Academic Use
  • LinkedIn
  • Twitter

User menu

  • Sample our Content
  • Request a Demo
  • Log in

Search

  • ADVANCED SEARCH: Discover more content by journal, author or time frame
The Journal of Alternative Investments
  • IPR Logo
  • About Us
  • Journals
  • Publish
  • Advertise
  • Videos
  • Webinars
  • More
    • Awards
    • Article Licensing
    • Academic Use
  • Sample our Content
  • Request a Demo
  • Log in
The Journal of Alternative Investments

The Journal of Alternative Investments

ADVANCED SEARCH: Discover more content by journal, author or time frame

  • Home
  • Current Issue
  • Past Issues
  • Videos
  • PA Reports
  • Submit an article
  • More
    • About JAI
    • Editorial Board
    • Published Ahead of Print (PAP)
    • CAIA Member Login
  • LinkedIn
  • Twitter

Measuring Hedge Fund Liquidity Mismatch

George O. Aragon, A. Tolga Ergun, Giulio Girardi and Mila Getmansky Sherman
The Journal of Alternative Investments Summer 2021, 24 (1) 26-42; DOI: https://doi.org/10.3905/jai.2021.1.134
George O. Aragon
is an associate professor of finance in the W. P. Carey School of Business at Arizona State University in Tempe, AZ
  • Find this author on Google Scholar
  • Find this author on PubMed
  • Search for this author on this site
A. Tolga Ergun
is a financial economist in the Division of Economic and Risk Analysis at the US Securities and Exchange Commission in Washington, DC
  • Find this author on Google Scholar
  • Find this author on PubMed
  • Search for this author on this site
Giulio Girardi
is a senior financial economist in the Division of Economic and Risk Analysis at the US Securities and Exchange Commission in Washington, DC
  • Find this author on Google Scholar
  • Find this author on PubMed
  • Search for this author on this site
Mila Getmansky Sherman
is a professor of finance at the Isenberg School of Management, University of Massachusetts Amherst, in Amherst, MA
  • Find this author on Google Scholar
  • Find this author on PubMed
  • Search for this author on this site
  • Article
  • Info & Metrics
  • PDF (Subscribers Only)
Loading

Click to login and read the full article.

Don’t have access? Click here to request a demo 

Alternatively, Call a member of the team to discuss membership options
US and Overseas: +1 646-931-9045
UK: 0207 139 1600

Abstract

The authors construct a comprehensive measure of mismatch between the market liquidity of assets and the funding liquidity of liabilities of hedge funds. The measure captures the complete liquidity landscape of hedge funds by encompassing liquidity from both sides of the balance sheet. Using quarterly Form Private Fund (PF) filings, they use portfolio, investor, and financing illiquidity to construct the liquidity mismatch measure and study its dynamics from 2013–2015. They find that the market liquidity of a hedge fund’s assets is typically higher than the funding liquidity of its borrowings and investor capital (negative liquidity mismatch). However, liquidity mismatch tends to be greater (more positive) when VIX is high and among funds with higher leverage, lower managerial stake, and smaller size.

TOPICS: Real assets/alternative investments/private equity, risk management, exchanges/markets/clearinghouses, financial crises and financial market history

Key Findings

  • ▪ The authors use a unique Form PF dataset with information on portfolio, investor, and financial illiquidity to construct a comprehensive measure of mismatch between the market liquidity of assets and the funding liquidity of liabilities of hedge funds.

  • ▪ The authors find that the market liquidity of a hedge fund’s assets is typically higher than the funding illiquidity of its borrowings and investor capital (negative liquidity mismatch).

  • ▪ However, liquidity mismatch tends to be greater (more positive) when VIX is high and among funds with higher leverage, lower managerial stake, and smaller size.

  • © 2021 Pageant Media Ltd
View Full Text

Don’t have access? Click here to request a demo

Alternatively, Call a member of the team to discuss membership options

US and Overseas: +1 646-931-9045

UK: 0207 139 1600

Log in using your username and password

Forgot your user name or password?
PreviousNext
Back to top

Explore our content to discover more relevant research

  • By topic
  • Across journals
  • From the experts
  • Monthly highlights
  • Special collections

In this issue

The Journal of Alternative Investments: 24 (1)
The Journal of Alternative Investments
Vol. 24, Issue 1
Summer 2021
  • Table of Contents
  • Index by author
  • Complete Issue (PDF)
Print
Download PDF
Article Alerts
Sign In to Email Alerts with your Email Address
Email Article

Thank you for your interest in spreading the word on The Journal of Alternative Investments.

NOTE: We only request your email address so that the person you are recommending the page to knows that you wanted them to see it, and that it is not junk mail. We do not capture any email address.

Enter multiple addresses on separate lines or separate them with commas.
Measuring Hedge Fund Liquidity Mismatch
(Your Name) has sent you a message from The Journal of Alternative Investments
(Your Name) thought you would like to see the The Journal of Alternative Investments web site.
CAPTCHA
This question is for testing whether or not you are a human visitor and to prevent automated spam submissions.
Citation Tools
Measuring Hedge Fund Liquidity Mismatch
George O. Aragon, A. Tolga Ergun, Giulio Girardi, Mila Getmansky Sherman
The Journal of Alternative Investments Jun 2021, 24 (1) 26-42; DOI: 10.3905/jai.2021.1.134

Citation Manager Formats

  • BibTeX
  • Bookends
  • EasyBib
  • EndNote (tagged)
  • EndNote 8 (xml)
  • Medlars
  • Mendeley
  • Papers
  • RefWorks Tagged
  • Ref Manager
  • RIS
  • Zotero
Save To My Folders
Share
Measuring Hedge Fund Liquidity Mismatch
George O. Aragon, A. Tolga Ergun, Giulio Girardi, Mila Getmansky Sherman
The Journal of Alternative Investments Jun 2021, 24 (1) 26-42; DOI: 10.3905/jai.2021.1.134
del.icio.us logo Digg logo Reddit logo Twitter logo Facebook logo Google logo LinkedIn logo Mendeley logo
Tweet Widget Facebook Like LinkedIn logo

Jump to section

  • Article
    • Abstract
    • HEDGE FUND LIQUIDITY COMPONENTS AND MISMATCH MEASURE
    • DATA AND SUMMARY STATISTICS
    • LIQUIDITY MISMATCHES
    • CONCLUSIONS
    • ACKNOWLEDGMENTS
    • APPENDIX
    • ENDNOTES
    • REFERENCES
  • Info & Metrics
  • PDF (Subscribers Only)
  • PDF (Subscribers Only)

Similar Articles

Cited By...

  • No citing articles found.
  • Google Scholar
LONDON
One London Wall, London, EC2Y 5EA
United Kingdom
+44 207 13 1600
 
NEW YORK
41 Madison Avenue, 20th Floor, New York, NY 10010
USA
+1 646 931 9045
pm-research@pageantmedia.com
 

Stay Connected

  • LinkedIn
  • Twitter

MORE FROM PMR

  • Home
  • Awards
  • Investment Guides
  • Videos
  • About PMR

INFORMATION FOR

  • Academics
  • Agents
  • Authors
  • Content Usage Terms

GET INVOLVED

  • Advertise
  • Publish
  • Article Licensing
  • Contact Us
  • Subscribe Now
  • Log In
  • Update your profile
  • Give us your feedback

© 2022 Pageant Media Ltd | All Rights Reserved | ISSN: 1520-3255 | E-ISSN: 2168-8435

  • Site Map
  • Terms & Conditions
  • Privacy Policy
  • Cookies