Finance and Financial Management Commons^™

Three Essays On Investments, Xin Hong

Theses and Dissertations--Finance and Quantitative Methods

This dissertation consists of three essays on investments. The first essay examines the incidence, determinants, and consequences of hedge fund share restriction changes. This paper finds that nearly one in five hedge funds change their share restrictions (e.g., lockup) over the period of 2007-2012. Share restriction changes are not random. Fund’s asset illiquidity, liquidity risk, and performance are related to share restriction changes. A hazard model indicates that funds who actively manage liquidity concerns live longer by adjusting share restrictions. The paper examines whether changes in share restrictions create an endogeneity bias in the share illiquidity premium (Aragon, 2007) and …