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Please use this identifier to cite or link to this item: https://dspace.lboro.ac.uk/2134/21220

Title: The market liquidity timing skills of debt-oriented hedge funds
Authors: Li, Baibing
Luo, Ji
Tee, Kai-Hong
Keywords: Fixed income market
Hedge funds
Liquidity timing skill
Market exposure
Issue Date: 2016
Publisher: © Wiley
Citation: LI, B., LUO, J. and TEE, K-H., 2016. The market liquidity timing skills of debt-oriented hedge funds. European Financial Management, 23 (1), pp.32-54.
Abstract: We investigate the liquidity timing skills of debt-oriented hedge funds following the 2008 credit crisis, which demonstrated the importance of understanding liquidity conditions to manage the market exposure of investments. We base the analysis on the estimated co-movements of fixed income and equity market liquidity. Our findings, which are statistically robust, show evidence of liquidity timing ability in the fixed income market for all debt-oriented hedge fund strategy categories. Joint market liquidity timing skill, however, is only found in some categories. Our findings suggest that debt-oriented hedge fund managers use a sophisticated set of timing strategies in their investment managements.
Description: This is the peer reviewed version of the following article: LI, B., LUO, J. and TEE, K-H., 2016. The market liquidity timing skills of debt-oriented hedge funds. European Financial Management, 23 (1), pp.32-54., which has been published in final form at http://dx.doi.org/10.1111/eufm.12090. This article may be used for non-commercial purposes in accordance with Wiley Terms and Conditions for Self-Archiving.
Version: Accepted for publication
DOI: 10.1111/eufm.12090
URI: https://dspace.lboro.ac.uk/2134/21220
Publisher Link: http://dx.doi.org/10.1111/eufm.12090
ISSN: 1354-7798
Appears in Collections:Published Articles (Business)

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