The Market Liquidity Timing Skills of Debtâ€ oriented Hedge Funds
Ji Luo and
Kaiâ€ Hong Tee
European Financial Management, 2017, vol. 23, issue 1, 32-54
We investigate the liquidity timing skills of debtâ€ oriented hedge funds following the 2008 credit crisis, which demonstrated the importance of understanding liquidity conditions to manage the market exposure of investments. We base the analysis on the estimated coâ€ movements of fixed income and equity market liquidity. Our findings, which are statistically robust, show evidence of liquidity timing ability in the fixed income market for all debtâ€ oriented hedge fund strategy categories. Joint market liquidity timing skill, however, is only found in some categories. Our findings suggest that debtâ€ oriented hedge fund managers use a sophisticated set of timing strategies in their investment managements.
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Persistent link: https://EconPapers.repec.org/RePEc:bla:eufman:v:23:y:2017:i:1:p:32-54
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