Article

Size and value effects in equity hedge funds

Published in: Investment Analysts Journal
Volume 45, issue sup1, 2016, pages: S17–S31
DOI: 10.1080/10293523.2016.1175074
Author(s): Jung-Min KimCollege of Business Administration, Republic of Korea

Abstract

Contrary to the findings in mutual funds, both size and value effects appear in equity hedge funds. Small-cap/value funds outperform large-cap/growth funds. Both asset and share liquidity measures show that small-cap/value funds manage less liquid assets and are more likely to have lockup restrictions than large-cap/growth funds. Furthermore, small-cap/value funds earn more benefits from using lockups than large-cap/growth funds. In part, lockups are helpful for small-cap/value funds by mitigating a fire-sale risk during crisis periods.

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