The Market Liquidity Timing Skills of Debt‐oriented Hedge Funds
研究了2008年信贷危机后债务导向对冲基金在固定收益和股票市场中的流动性择时能力，发现所有策略类别在固定收益市场均表现出择时能力，但联合市场择时能力仅存在于部分类别。
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.