Abstract

http://ssrn.com/abstract=1106654
 
 

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


Tarun Ramadorai


University of Oxford - Said Business School; University of Oxford - Oxford-Man Institute of Quantitative Finance; Centre for Economic Policy Research (CEPR)

August 3, 2010

Journal of Finance, Forthcoming

Abstract:     
Rational theories of the closed-end fund premium puzzle highlight fund share and asset illiquidity, managerial ability and compensation, and fees as important determinants of the premium. Several of these attributes are difficult to measure for mutual funds, and easier to measure for hedge funds. This paper employs new data from a secondary market for hedge funds, discovers a closed hedge fund premium which is highly correlated over time with the closed-end mutual fund premium, and shows that the closed hedge fund premium is well-explained by variables suggested by the rational theories. Sentiment-based explanations do not find support in the data.

Number of Pages in PDF File: 60

Keywords: hedge funds, mutual funds, closed-end fund discount, liquidity, alpha

JEL Classification: G11, G12, G23

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Date posted: March 18, 2008 ; Last revised: June 29, 2011

Suggested Citation

Ramadorai, Tarun, The Secondary Market for Hedge Funds and the Closed Hedge Fund Premium (August 3, 2010). Journal of Finance, Forthcoming. Available at SSRN: http://ssrn.com/abstract=1106654 or http://dx.doi.org/10.2139/ssrn.1106654

Contact Information

Tarun Ramadorai (Contact Author)
University of Oxford - Said Business School ( email )
Park End Street
Oxford, OX1 1HP
Great Britain
+44 1865 278 816 (Phone)
+44 1865 288 805 (Fax)
HOME PAGE: http://www.tarunramadorai.com
University of Oxford - Oxford-Man Institute of Quantitative Finance ( email )
Eagle House
Walton Well Road
Oxford, Oxfordshire OX2 6ED
United Kingdom
Centre for Economic Policy Research (CEPR) ( email )
77 Bastwick Street
London, EC1V 3PZ
United Kingdom
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