Federal Dposit InsuranceCorporation• Center for Financial Researchh
Sanjiv R. Das
Darrell Duffie
Nikunj Kapadia
Risk-Based Capital Standards,
Deposit Insurance and Procyclicality
Risk-Based Capital Standards,
Deposit Insurance and Procyclicality
FDIC Center for Financial Research
Working Paper
No. 2010-10
Liquidity risk and the cross-section of hedge-fund returns
August 2010
Empirical Comparisons and Implied Recovery Rates
kkk
An Empirical
An Empirical Analysis
State-
Efraim Benmel Efraim Benmelech May, 2005
June 20
May , 2005 Asset S2005-14
September 2005
Sanjiv R. Das
Darrell Duffie
Nikunj Kapadia
Risk-Based Capital Standards,
Deposit Insurance and Procyclicality
Risk-Based Capital Standards,
Deposit Insurance and Procyclicality
FDIC Center for Financial Research
Working Paper
No. 2010-10
Liquidity risk and the cross-section of hedge-fund returns
August 2010
Empirical Comparisons and Implied Recovery Rates
kkk
An Empirical
An Empirical Analysis
State-
Efraim Benmel Efraim Benmelech May, 2005
June 20
May , 2005 Asset S2005-14
September 2005
Liquidity risk and the cross-section of hedge-fund returns
Ronnie Sadka
August 2010
Abstract
This paper demonstrates that liquidity risk as measured by the covariation of fund returns
with unexpected changes in aggregate liquidity is an important determinant in the cross-section
of hedge-fund returns. The results show that funds that signiÖcantly load on liquidity risk sub-
sequently outperform low-loading funds by about 6% annually, on average, over the period
1994
Ronnie Sadka
August 2010
Abstract
This paper demonstrates that liquidity risk as measured by the covariation of fund returns
with unexpected changes in aggregate liquidity is an important determinant in the cross-section
of hedge-fund returns. The results show that funds that signiÖcantly load on liquidity risk sub-
sequently outperform low-loading funds by about 6% annually, on average, over the period
1994