题 目：Can Hedge Funds Time Market Liquidity?
报告人：Yong Chen (Virginia Tech)
时 间：6月11日（周五）10:00-11:30am
地 点：北京大学光华新楼217教室
摘 要：This paper examines how hedge funds manage their liquidity risk by responding to changes in aggregate liquidity conditions. Using a large sample of equity-oriented hedge funds during the period of 1994-2008, we find strong evidence that hedge fund managers possess the ability to time market liquidity at both the investment strategy level and the individual fund level. They increase (decrease) their portfolios’ market exposure when the equity market liquidity is high (low). The liquidity timing ability is asymmetric, depending on the market liquidity conditions: hedge funds reduce their portfolios’ market exposure significantly when market liquidity is extremely low, but they do not increase their market exposure when market liquidity is unusually high. Finally, we find that investing in top liquidity timing funds can generate economically significant profit. Our results are robust after controlling for alternative benchmark models, various data biases, and return-timing and volatility-timing abilities.
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