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Persistent link: https://www.econbiz.de/10009784174
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...
Persistent link: https://www.econbiz.de/10013039176
This study examines the liquidity characteristics of market anomalies and how liquidity affects institutional trading on those anomalies. We find that long-short portfolios based on market anomalies have pervasive liquidity exposures. For long-horizon anomalies, the long legs of the portfolios...
Persistent link: https://www.econbiz.de/10013252421