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The Secondary Market for Hedge Funds and the Closed Hedge Fund Premium

Listed author(s):
  • TARUN RAMADORAI

Employing data from a new secondary market for hedge funds, this paper documents the existence of a closed-hedge fund premium, analogous to the closed-end mutual fund premium which has been extensively studied in the literature. Over the past decade, the two premia comove with one another at high and low frequencies, which is surprising given the numerous differences between the two markets. Rational theories put forward to explain the closed-end mutual fund premium are strongly supported as explanations for the variation in closed-hedge fund premia. These results are robust to correction for potential selection bias.

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File URL: http://hdl.handle.net/10.1111/j.1540-6261.2012.01723.x
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Article provided by American Finance Association in its journal Journal of Finance.

Volume (Year): 67 (2012)
Issue (Month): 2 (04)
Pages: 479-512

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Handle: RePEc:bla:jfinan:v:67:y:2012:i:2:p:479-512
DOI: j.1540-6261.2012.01723.x
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