Can Hedge Funds Time Liquidity?

• Main Authors: CAO, Charles, CHEN, Yong, LIANG, Bing, LO, Andrew W.
• 格式: text
• 語言: English
• 出版: Institutional Knowledge at Singapore Management University 2013
• 主題: Hedge funds; Liquidity timing; Investment value; Liquidity reaction; Performance persistence; Finance and Financial Management
• 在線閱讀: https://ink.library.smu.edu.sg/bnp_research/11; https://ink.library.smu.edu.sg/cgi/viewcontent.cgi?article=1010&context=bnp_research
• 機構: Singapore Management University

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...