Author
Çağlayan, Mustafa Onur, Ulutaş, Sevan
Publication Date
2014
Publication Place
-
Wiley
Subject
Cross-section, Risk, Performance, Strategies, Persistence, Efficiency, Momentum, Managers
Type
Periodical
Language
English
Digital
Yes
Manuscript
No
Library
Özyeğin University
Library Asset ID
1755-053X
Record ID
99f326e0-bfa4-46d5-81cb-630763ae430f
Library Location
Economics
Date
2014
Notes
Due to copyright restrictions, the access to the full text of this article is only available via subscription.
Sample Text
We examine emerging market and global macro hedge funds and find a significant positive relation between hedge funds' future returns and their exposure to both emerging market equities and emerging market currencies. We present evidence that the strong predictive power of emerging market betas is related to the superior market-timing ability of these fund managers. Results are robust after controlling for commonly used hedge fund factors, the emerging market equity index, lagged fund returns, liquidity risk, and fund characteristics. Our results suggest that hedge funds can earn positive excess returns by timing their exposure to emerging market securities.
DOI
10.1111/fima.12029
Cilt
43
