The liquidity-timing ability of hedge funds
This thesis examines whether hedge funds are able to time the aggregate market liquidity and adjust market exposure of their holding portfolio. Using 7,469 hedge funds from TASS over the period from 1994 to 2014 we find significant evidence of positive liquidity-timing skills that translate into the...
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| Format: | masterThesis |
| Language: | eng |
| Published: |
2016
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| Online Access: | http://hdl.handle.net/10400.14/20661 |
| Country: | Portugal |
| Oai: | oai:repositorio.ucp.pt:10400.14/20661 |
| Summary: | This thesis examines whether hedge funds are able to time the aggregate market liquidity and adjust market exposure of their holding portfolio. Using 7,469 hedge funds from TASS over the period from 1994 to 2014 we find significant evidence of positive liquidity-timing skills that translate into the ability of top timers to deliver higher abnormal returns over bottom timers. We also distinguish liquidity reaction and liquidity-timing skills. The first reflects the ability to adjust market exposure based on already observed information in the previous period and do not bring any additional investment value for investors. We investigate the effect of hedge funds biases on our results and do not find any changes in our conclusions. |
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