We exploit the expiring nature of hedge fund lockups to create a new measure of funding liquidity risk that varies within funds. We find that hedge funds with lower funding risk generate higher returns, and this effect is driven by their increased exposure to equity-mispricing anomalies. Our results are robust to a variety of sampling criteria, variable definitions, and control variables. Further, we address endogeneity concerns in various ways, including a placebo approach and regression discontinuity design. Collectively, our results support a causal link between funding risk and the ability of managers to engage in risky arbitrage.

中文翻译：

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资金流动性风险和对冲基金锁定的动态

我们利用对冲基金锁定期的到期性质来创建一种新的衡量基金流动性风险的方法。我们发现，融资风险较低的对冲基金会产生更高的回报，而这种影响是由于它们对股票错误定价异常的敞口增加所致。我们的结果对各种抽样标准、变量定义和控制变量都是稳健的。此外，我们以各种方式解决内生性问题，包括安慰剂方法和回归不连续设计。总的来说，我们的结果支持资金风险与管理人员进行风险套利的能力之间的因果关系。