The evolving beta-liquidity relationship of hedge funds

Siegmann, Arjen; Stefanova, Denitsa

doi:10.1016/j.jempfin.2017.04.002

Cited by 7 publications

(7 citation statements)

References 94 publications

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“…While share restrictions allow funds to manage illiquid assets effectively in the pre-crisis period, they are insufficient to ensure effective management of illiquid portfolios during the crisis. Siegmann and Stefanova (2017) find that equity-focused HFs show a significant shift from negative to positive relation between market beta and liquidity after the major market microstructure changes in 2000. Teo (2011) finds that the return impact of fund flows is stronger when funds embrace liquidity risk, when market liquidity is low and when funding liquidity is tight.…”

Section: J O U R N a L P R E -P R O O Fmentioning

confidence: 83%

Determinants of hedge fund performance during ‘good’ and ‘bad’ economic periods

Stafylas

Andrikopoulos

2020

Research in International Business and Finance

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This is a PDF file of an article that has undergone enhancements after acceptance, such as the addition of a cover page and metadata, and formatting for readability, but it is not yet the definitive version of record. This version will undergo additional copyediting, typesetting and review before it is published in its final form, but we are providing this version to give early visibility of the article. Please note that, during the production process, errors may be discovered which could affect the content, and all legal disclaimers that apply to the journal pertain.

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Section: J O U R N a L P R E -P R O O Fmentioning

confidence: 83%

Determinants of hedge fund performance during ‘good’ and ‘bad’ economic periods

Stafylas

Andrikopoulos

2020

Research in International Business and Finance

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“…Wattanatorn et al ( 2020 ) suggested that high-performing fund managers exhibit significantly positive liquidity timing skills while low-performing fund managers don’t demonstrate this behavior. Siegmann and Stefanova ( 2017 ) found evidence that equity- oriented hedge fund managers possess liquidity timing ability after the major market microstructure evolution in the year 2000. Recently, the empirical evidence supports the notion that hedge fund managers time market volatility.…”

Section: Literature Reviewmentioning

confidence: 99%

American hedge funds industry, market timing and COVID-19 crisis

et al. 2022

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This paper addresses two key issues relating to the interactions among the North American hedge funds industry, the equity and treasury bond markets during the COVID-19 pandemic. First, we examine the market-timing ability of North America hedge fund managers using eight strategies as well as the composite hedge fund index. Secondly, we analyze both the short- and long-term effects of both the North American equity and bond markets on the performance of the regional hedge funds industry while accounting for the effects of COVID-19 pandemic. Our results show no significant evidence of market return-timing ability of hedge fund managers across all the funds strategies during the pandemic. However, we document a strong evidence of the effects of the pandemic on the performance of fund managers, except for the Managed Futures and the Relative Value funds strategies. Secondly, we demonstrate that the COVID-19 pandemic may have significantly altered the long-term effects of the North American equity market on the performance of the hedge fund industry while the effects of the bond market is only significant in the short-term. We outlined some crucial implications of these findings for the decision-making process of hedge fund managers, investors as well as market makers during a health crisis-induced financial market turbulence.

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“…Criton and Scaillet (2011) further study whether hedge fund exposures display structural breaks in turmoil periods. Siegmann and Stefanova (2017) find optimal change-points in the beta-liquidity relationship in periods that feature either market turmoil or structural changes. Accordingly, structural change-point regression best captures rapid and sharp transitions in fund exposures, while state-space models best model smooth transitions.…”

Section: Dynamic Pricing Modelsmentioning

confidence: 99%

The macroeconomic drivers in hedge fund beta management

Lambert

Platania

2020

Economic Modelling

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We investigate how macroeconomic indicators alter the dynamic risk exposure of different hedge fund style strategies. We implement a multifactor model to estimate the unobservable timevarying risk exposure conditional to macroeconomic information and a VAR to measure the impact of macroeconomic predictors on different time horizons. Using monthly returns on a cross-section of 10 different style indices from February 1997 to August 2019, we find that, on average, macroeconomic indicators explain approximately 30%, 55%, and 75% variability of betas at 1-, 6-, and 36-months horizons, respectively. Although macroeconomic predictors play a critical role at every horizon, at 1-month the dominating effect comes from idiosyncratic shocks, which indicates that in the short run hedge fund managers mostly rely on their own reallocation signals.Moreover, consistent with the fundamental drivers of the smart beta factors, we find that interest rate level and GDP growth similarly impact hedge fund exposures across styles.

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The evolving beta-liquidity relationship of hedge funds

Cited by 7 publications

References 94 publications

Determinants of hedge fund performance during ‘good’ and ‘bad’ economic periods

Determinants of hedge fund performance during ‘good’ and ‘bad’ economic periods

American hedge funds industry, market timing and COVID-19 crisis

The macroeconomic drivers in hedge fund beta management

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