发帖
雷达卡
The growth in hedge fund has in part been due to their historical return to risk performance. Concern, however, has been expressed that one reason for the superior return to risk tradeoff for hedge funds, is that, unlike traditional mutual funds, hedge funds often trade in illiquid securities and may have the ability to smooth prices such that reported volatility and systematic risk are
less than actual volatility and systematic risk. In this paper we show that previous research which has used the lagged values of S&P 500 returns to test the potential impact of stale prices may simply reflect a unique historical anomaly in the relationship between hedge fund returns and lagged returns on the S&P 500. While price smoothing may still exist in various hedge fund strategies, we show that the empirical results presented in previous papers have an alternative explanation that is unrelated to stale prices or data smoothing.
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