n Investment Analysts Journal - Size and value effects in equity hedge funds

Supplement 1
  • ISSN : 1029-3523
  • E-ISSN: 2077-0227
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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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