Can Hedge Funds Time Liquidity?

Can Hedge Funds Time Liquidity?

We explore a new dimension of fund managers' timing ability by examining whether they can time market liquidity through adjusting their portfolios' market exposure as aggregate liquidity conditions change. Using a large sample of hedge funds, we find strong evidence of liquidity timing. A...

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Bibliographic Details
Main Authors: CAO, Charles, CHEN, Yong, LIANG, Bing, LO, Andrew W.
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 2013
Subjects:
Hedge funds
Liquidity timing
Investment value
Liquidity reaction
Performance persistence
Finance and Financial Management
Online Access:https://ink.library.smu.edu.sg/bnp_research/11
https://ink.library.smu.edu.sg/cgi/viewcontent.cgi?article=1010&context=bnp_research
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Institution: Singapore Management University
Language: English

Internet

https://ink.library.smu.edu.sg/bnp_research/11
https://ink.library.smu.edu.sg/cgi/viewcontent.cgi?article=1010&context=bnp_research

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