Can hedge funds time market 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...
| Main Authors: | , , , |
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| Other Authors: | |
| Format: | Article |
| Language: | en_US |
| Published: |
Elsevier
2014
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| Online Access: | http://hdl.handle.net/1721.1/87775 https://orcid.org/0000-0003-2944-7773 |