Huss, Matthias and Zimmermann, Heinz. (2018) The Pricing of Liquidity Risk in Buyout Funds. A Public Market Perspective. SBR - Schmalenbach Business Review, 70 (3). pp. 285-312.
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Official URL: https://edoc.unibas.ch/67237/
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Abstract
This paper analyzes the structure and pricing of liquidity risk for international listed buyout funds. We use a time-series framework for our tests which allows us to discriminate between the exposure of buyout funds to two types of liquidity: Market and funding liquidity. We find that the innovation in funding liquidity is a priced factor for buyout funds, while changes in market liquidity are not. Investors require a risk premium of approximately 3% to 7% per annum in order to be compensated for bearing that risk. Controlling for funding liquidity risk decreases the alpha of the asset class to zero.
| Faculties and Departments: | 06 Faculty of Business and Economics > Departement Wirtschaftswissenschaften > Professuren Wirtschaftswissenschaften > Finanzmarkttheorie (Zimmermann) |
|---|---|
| UniBasel Contributors: | Huss, Matthias and Zimmermann, Heinz |
| Item Type: | Article, refereed |
| Article Subtype: | Research Article |
| Publisher: | Springer |
| ISSN: | 1439-2917 |
| Note: | Publication type according to Uni Basel Research Database: Journal article |
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| Identification Number: | |
| Last Modified: | 27 Dec 2018 10:23 |
| Deposited On: | 27 Dec 2018 10:21 |
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