%PDF-1.5 % 1 0 obj <> endobj 2 0 obj <> endobj 3 0 obj <> endobj 4 0 obj (Introduction) endobj 5 0 obj <> endobj 6 0 obj <> endobj 7 0 obj <> endobj 8 0 obj (Literature Review) endobj 9 0 obj <> endobj 10 0 obj <> endobj 11 0 obj <> endobj 12 0 obj (Theory) endobj 13 0 obj <> endobj 14 0 obj <> endobj 15 0 obj <> endobj 16 0 obj (Margin Constraints and BAB Portfolio Performance) endobj 17 0 obj <> endobj 18 0 obj <> endobj 19 0 obj <> endobj 20 0 obj (Margin Proxies and Methodology) endobj 21 0 obj <> endobj 22 0 obj <> endobj 23 0 obj <> endobj 24 0 obj (BAB Performance Across Different Margin Groups) endobj 25 0 obj <> endobj 26 0 obj <> endobj 27 0 obj <> endobj 28 0 obj (Funding Liquidity Shocks) endobj 29 0 obj <> endobj 30 0 obj <> endobj 31 0 obj <> endobj 32 0 obj (The Extraction of the Funding Liquidity Shocks) endobj 33 0 obj <> endobj 34 0 obj <> endobj 35 0 obj <> endobj 36 0 obj (A Tradable Measure of Funding Liquidity Risk) endobj 37 0 obj <> endobj 38 0 obj <> endobj 39 0 obj <> endobj 40 0 obj (Relation with Market Liquidity) endobj 41 0 obj <> endobj 42 0 obj <> endobj 43 0 obj <> endobj 44 0 obj (Funding Liquidity and Hedge Fund Returns) endobj 45 0 obj <> endobj 46 0 obj <> endobj 47 0 obj <> endobj 48 0 obj (Funding Liquidity Shocks and Time Series Hedge Fund Performance) endobj 49 0 obj <> endobj 50 0 obj <> endobj 51 0 obj <> endobj 52 0 obj (Funding Liquidity Shocks and Cross-Sectional Hedge Fund Returns) endobj 53 0 obj <> endobj 54 0 obj <> endobj 55 0 obj <> endobj 56 0 obj (Robustness Tests of the Cross-Sectional Hedge Fund Returns) endobj 57 0 obj <> endobj 58 0 obj <> endobj 59 0 obj <> endobj 60 0 obj (Funding Liquidity Shocks and the Real Economy) endobj 61 0 obj <> endobj 62 0 obj <> endobj 63 0 obj <> endobj 64 0 obj (Forecast of Macroeconomic Growth) endobj 65 0 obj <> endobj 66 0 obj <> endobj 67 0 obj <> endobj 68 0 obj (Determinants of Funding Liquidity Risk) endobj 69 0 obj <> endobj 70 0 obj <> endobj 71 0 obj <> endobj 72 0 obj (Conclusion) endobj 73 0 obj <> endobj 74 0 obj <> endobj 75 0 obj <> endobj 76 0 obj (Data Appendix) endobj 77 0 obj <> endobj 78 0 obj <> endobj 79 0 obj <> endobj 80 0 obj (Funding liquidity proxies) endobj 81 0 obj <> endobj 82 0 obj <> endobj 83 0 obj <> endobj 84 0 obj (Hedge Fund Data) endobj 85 0 obj <> endobj 86 0 obj <> endobj 87 0 obj <> endobj 88 0 obj (Removal of Hedge Fund Returns' First- and Second-Order Autocorrelations) endobj 89 0 obj <> endobj 90 0 obj <> endobj 91 0 obj <> endobj 92 0 obj (Mathematics Appendix) endobj 93 0 obj <> endobj 94 0 obj <> endobj 95 0 obj <> endobj 96 0 obj (Proof of Lemma 1) endobj 97 0 obj <> endobj 98 0 obj <> endobj 99 0 obj <> endobj 100 0 obj (Proof of Lemma 2) endobj 101 0 obj <> endobj 102 0 obj <> endobj 103 0 obj <> endobj 104 0 obj (Proof of Proposition 1) endobj 105 0 obj <> endobj 106 0 obj <> endobj 107 0 obj <> endobj 108 0 obj (Proof of Proposition 2) endobj 109 0 obj <> endobj 110 0 obj <> endobj 111 0 obj <> endobj 112 0 obj (Additional Figures and Tables) endobj 113 0 obj <> endobj 114 0 obj <> endobj 115 0 obj <>>> endobj 116 0 obj <>>> endobj 117 0 obj <>/ProcSet[/PDF/Text]/XObject 946 0 R/ExtGState 947 0 R>> endobj 118 0 obj <>stream x}rF]UԾanRrXG1lW 2G^ Ѧ*>ILK26m]6z{2ؽ'ʭDn+d yQ$xNO, p=b`_ 8]}/eڮыn\AE\P8t;WOi29@/(]0@r;F4[ r(6(^LW5IxLɌ8"Ћj4{ˌ!5̹1aKS*ߩEF +Ë?ԫ^lNO+ӃMJU[եHuY.mA =Z -LB]ݴ?1A6,1+pk;y4?F]$ %NDi2xcC0}K̃ȧ rQPaNQ: 5Uk;? ģ~'Bi!PMc UJu▸pawh* F4SOƀqi&]B|㼥`\.b b(f;o* A\ \Pq;8ӣpo(cq&n?djz]Xň.]W!:C↭o5>ȓC b@[@:DRLI8J'NoTyXRp9EqXkx]/C\P/T%DoxI4 PEFX1W)$4$wb>(l6`vT2Ef`RwyDGV-P4HG=VgWa.(#D/ \.e(%7`wzr (gbӴ|efG`ףeX*ITL 5v[alwpFz[-Qp[+@.JXn}< fԁ T/+TC9U1h官w1" @<e,AЭ͝`OpT