JEL classification: G11, G12, G23
Keywords: Asset pricing, hedge funds, selectivity, liquidity timing
학회소식
[2022년 제4차 융합학술대회]Hedge Fund Manager Timing and Selectivity Skill Over Time. A Holdings-Based Estimate
작성자 : 관리자
조회수 : 277
게시일 :
2022-12-19
We study the performance of hedge fund managers using quarterly stock holdings from 1999 to 2017. We employ a holdings-based measure built upon Ferson and Mo (2016) to decompose a manager’s overall performance into stock selection and three components of timing ability: market return, volatility and liquidity. In particular, we introduce liquidity timing ability for the first time under a holdings-based measure. At the aggregate level, we find that hedge fund managers have stock picking skill but no timing ability. This skill diminishes in the later part of our sample. We also find that managers exhibit persistence in selectivity skill. At the individual fund level, bootstrap analysis results suggest that the top managers’ selectivity skill can be separated from luck.
