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

摘要

Rational theories of the closed-end fund premium puzzle highlight fund share and asset illiquidity, managerial ability, and fees as important determinants of the pre-mium. 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 that is highly correlated with the closed-end mutual fund premium, and shows that the closed-hedge fund pre-mium is well explained by variables suggested by rational theories. Sentiment-based explanations do not find support in the data.