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Are hedge funds active market liquidity timers?

Li, Chenlu; Li, Baibing; Tee, Kaihong - In: International review of financial analysis 67 (2020), pp. 1-12

Persistent link: https://www.econbiz.de/10012299122

Strategy diversification : combining momentum and carry strategies within a foreign exchange portfolio

Olszweski, Francis; Zhou, Guofu - In: Journal of derivatives & hedge funds 19 (2013) 4, pp. 311-320

Persistent link: https://www.econbiz.de/10010259395

Active alpha : a portfolio approach to selecting and managing alternative investments

Dorsey, Alan H. - 2007

Persistent link: https://www.econbiz.de/10003423460

Myopic or Dynamic Liquidity Management? A Study of Hedge Funds around the 2008 Financial Crisis

Driessen, Joost - 2017

"liquidity cushion" (e.g. Scholes 2000; Duffie and Ziegler 2003; Brown, Carlin, and Lobo 2010). Consistently, hedge funds …' portfolio composition shows a delayed "flight to liquidity'': the proportion of hedge funds' liquid stock holdings decreased …

Persistent link: https://www.econbiz.de/10012970667

Identifying speculative demand shocks in commodity futures markets through changes in volatility

Hachula, Michael; Rieth, Malte - 2017

This paper studies the effects of financial speculation on commodity futures returns, using publicly available data from the US Commodity Futures Trading Commission, aggregated by trader groups. We exploit the heteroskedasticity in the weekly data to identify exogenous variation in speculators'...

Persistent link: https://www.econbiz.de/10011619592

Investor concentration, flows, and cash holdings : evidence from hedge funds

Kruttli, Mathias S.; Monin, Phillip J.; Watugala, Sumudu W. - 2017

increases because investors' exogenous, idiosyncratic liquidity shocks are not diversified away. Using confidential regulatory … cash and liquid assets, which help absorb large, unexpected outflows. Such funds have to pay a liquidity premium and …

Persistent link: https://www.econbiz.de/10011803704