Journal of Empirical Finance · VOLUME 41 · April 2017

对冲基金beta-流动性关系的变化

作者：Arjen Siegmann (Vrije Universiteit Amsterdam, Faculty of Economics and Business), Denitsa Stefanova (Luxembourg School of Finance, Université du Luxembourg)

摘要：对冲基金一直被认为拥有流动性择时的能力，但是这种能力可能是基于总体市场情况而存在的。为了验证这个现象，作者分析了对冲基金的股市暴露和总体股市流动性之间关系的变化。作者使用了一种最优变化节点的方式，发现自从2000年主要市场微观结构发生变化以后，股权倾向的对冲基金在流动性择时行为上表现出了明显的变化。这种变化表现为市场beta和流动性之间的负相关关系开始变为正相关关系。同时作者通过计算几种常用的风险套利策略的收益没有发现类似的流动性择时行为的变化来排除了一种机制上的解释。

关键词：对冲基金、市场择时、流动性择时、变节点回归、动态策略

The evolving beta-liquidity relationship of hedge funds

Arjen Siegmann (Vrije Universiteit Amsterdam, Faculty of Economics and Business), Denitsa Stefanova (Luxembourg School of Finance, Université du Luxembourg)

ABSTRACT

Hedge funds are known to have liquidity-timing capability, but this might be conditional on aggregate market conditions. To test this, we analyze changes in the relation between hedge funds' stock market exposure and aggregate stock market liquidity. Employing an optimal changepoint approach, we find that equity-oriented hedge funds display a significant shift in liquidity-timing behavior after the major market microstructure changes in the year 2000. The shift is from a negative relation between market beta and liquidity towards a positive relation. We rule out a mechanistic explanation of the results by computing the returns to several familiar risk arbitrage strategies, finding in them no evidence of a similar shift in liquidity timing.

Keywords: Hedge funds; Market timing; Liquidity timing; Changepoint regression; Dynamic strategies

原文链接：http://www.sciencedirect.com/science/article/pii/S0927539817300312

翻译：殷曼琳