Cao, Charles; Chen, Yong; Liang, Bing; Lo, Andrew W. - In: Journal of Financial Economics 109 (2013) 2, pp. 493-516
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...