An econometric model of serial correlation and illiquidity in hedge fund returns

A-Tier

Journal: Journal of Financial Economics

Year: 2004

Volume: 74

Issue: 3

Pages: 529-609

Authors (3)

Getmansky, Mila (not in RePEc) Lo, Andrew W. (Massachusetts Institute of Tec...) Makarov, Igor (not in RePEc)

Score contribution per author:

1.341 = (α=2.01 / 3 authors) × 2.0x A-tier

α: calibrated so average coauthorship-adjusted count equals average raw count