Stefanova, Denitsa; Siegmann, Arjen - Luxembourg School of Finance, Faculté de droit, … - 2014
Using an optimal changepoint approach, we find a structural change in the relation between hedge funds’ stock market … betas have no relation to liquidity and only a few style categories of hedge funds show increased market presence when … funds, as users of liquidity. We relate our findings to best execution rules and decimalization in the US stock market that …