The assistant professor of finance's paper has been accepted by the Journal of Financial and Quantitative Analysis.
Adam Aiken, assistant professor of finance in the Martha and Spencer Love School of Business, co-authored “Funding Liquidity Risk and the Dynamics of Hedge Fund Lockups,” which has been accepted for publication in the Journal of Finance and Quantitative Analysis.
Aiken co-authored this paper with Chris Clifford, University of Kentucky, Jesse Ellis, North Carolina State University, and Qiping Huang, Boise State University.
The authors exploited the expiring nature of hedge fund lockups to create a new measure of funding liquidity risk that varies within funds. Their findings show that hedge funds with lower funding risk generate higher returns and this effect is driven by their increased exposure to equity mispricing anomalies. Collectively, the authors’ results support a causal link between funding risk and the ability of managers to engage in risky arbitrage.
The Journal of Financial and Quantitative Analysis (JFQA) has an 8 percent acceptance rate and is on the Financial Times top 50 journal list. The journal publishes theoretical and empirical research in financial economics. Topics include corporate finance, investments, capital and security markets, and quantitative methods of particular relevance to financial researchers.
Aiken received a doctorate in finance from Arizona State University, a master’s degree in economics from Duke University and a B.S. in business administration (finance) from the University of North Carolina at Chapel Hill. After graduating from UNC, he worked for the UNC Management Company, the endowment arm of the university. He has been a CFA Charterholder since 2003. Aiken’s research interests include financial institutions and performance measurement, with a particular focus on hedge funds.