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Do European hedge fund managers time market liquidity?

Author

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  • Soumaya Ben Khelifa

    (Laboratoire d’Economie et de Finance Appliquées – Institut des Hautes Etudes Commerciales- Carthage)

  • Dorra Mezzez Hmaied

    (Laboratoire d’Economie et de Finance Appliquées – Institut des Hautes Etudes Commerciales- Carthage)

Abstract

We propose two approaches to examine whether European hedge fund managers can time market liquidity. Using a sample of 1616 European hedge funds, we find evidence of liquidity-timing. More importantly, this ability adds economic value to investors. Thus, it represents valuable managerial skill and a major source of European hedge funds’ performance. Also we show that the majority of these funds demonstrate liquidity-timing ability especially during liquidity crisis. Finally, it emerged that our main evidence of liquidity-timing remains significant after controlling for market-timing and volatility-timing.

Suggested Citation

  • Soumaya Ben Khelifa & Dorra Mezzez Hmaied, 2016. "Do European hedge fund managers time market liquidity?," Journal of Asset Management, Palgrave Macmillan, vol. 17(6), pages 393-407, October.
    • Handle: RePEc:pal:assmgt:v:17:y:2016:i:6:d:10.1057_jam.2016.21
    DOI: 10.1057/jam.2016.21
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    References listed on IDEAS

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    2. Soumaya Ben Khelife & Christian Urom & Khaled Guesmi & Ramzi Benkraiem, 2022. "American hedge funds industry, market timing and COVID-19 crisis," Journal of Asset Management, Palgrave Macmillan, vol. 23(5), pages 390-399, September.

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