Size and value effects in equity hedge funds. (28th October 2016)

• Record Type: Journal Article
• Authors: Kim, Jung-Min
• Is Part Of: Investment analysts journal. Volume 45(2016)Supplement 1
• Page Start: S17
• Page End: S31
• Publication Date: 2016-10-28
• Subjects: Size effect -- value effect -- equity hedge fund -- lockup; G11 -- G14 -- G23; Investment analysis -- Periodicals; Investments -- Africa, Southern -- Periodicals; Finance -- Periodicals; Finance; Investment analysis; Investments; Africa, Southern; Periodicals; 332.605
• DOI: 10.1080/10293523.2016.1175074
• Languages: English
• ISSNs: 2077-0227

Abstract

ABSTRACT: Contrary to the findings in mutual funds, both size and value effects appear in equity hedge funds. Small-cap/value funds outperform large-cap/growth funds. Both asset and share liquidity measures show that small-cap/value funds manage less liquid assets and are more likely to have lockup restrictions than large-cap/growth funds. Furthermore, small-cap/value funds earn more benefits from using lockups than large-cap/growth funds. In part, lockups are helpful for small-cap/value funds by mitigating a fire-sale risk during crisis periods.