Do European hedge fund managers time market liquidity?

Soumaya Ben Khelifa () and Dorra Mezzez Hmaied
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Soumaya Ben Khelifa: Laboratoire d’Economie et de Finance Appliquées – Institut des Hautes Etudes Commerciales- Carthage
Dorra Mezzez Hmaied: Laboratoire d’Economie et de Finance Appliquées – Institut des Hautes Etudes Commerciales- Carthage

Journal of Asset Management, 2016, vol. 17, issue 6, No 1, 393-407

Abstract: Abstract We propose two approaches to examine whether European hedge fund managers can time market liquidity. Using a sample of 1616 European hedge funds, we find evidence of liquidity-timing. More importantly, this ability adds economic value to investors. Thus, it represents valuable managerial skill and a major source of European hedge funds’ performance. Also we show that the majority of these funds demonstrate liquidity-timing ability especially during liquidity crisis. Finally, it emerged that our main evidence of liquidity-timing remains significant after controlling for market-timing and volatility-timing.

Keywords: European hedge funds; liquidity-timing ability; crisis; performance (search for similar items in EconPapers)
Date: 2016
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:pal:assmgt:v:17:y:2016:i:6:d:10.1057_jam.2016.21

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DOI: 10.1057/jam.2016.21

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