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Macroeconomic risk and hedge fund returns

Title	Macroeconomic risk and hedge fund returns
Author	Bali, T. G., Brown, S. J., Çağlayan, Mustafa Onur
Publication Date:	2014-10
Publication Place	- Elsevier
Subject	Hedge funds, Mutual funds, Macroeconomic risk, Economic uncertainty
Type	Periodical
Language	English
Digital	Yes
Manuscript	No
Library:	Özyeğin University
Library Asset ID	0304-405X
Record ID	476ac454-5662-4e67-b8b1-ef51f0a0989d
Library Location	Economics
Date	2014-10
Sample Text	This paper estimates hedge fund and mutual fund exposure to newly proposed measures of macroeconomic risk that are interpreted as measures of economic uncertainty. We find that the resulting uncertainty betas explain a significant proportion of the cross-sectional dispersion in hedge fund returns. However, the same is not true for mutual funds, for which there is no significant relationship. After controlling for a large set of fund characteristics and risk factors, the positive relation between uncertainty betas and future hedge fund returns remains economically and statistically significant. Hence, we argue that macroeconomic risk is a powerful determinant of cross-sectional differences in hedge fund returns.
DOI	10.1016/j.jfineco.2014.06.008
Cilt	114

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Özyeğin University

Macroeconomic risk and hedge fund returns

Author Bali, T. G., Brown, S. J., Çağlayan, Mustafa Onur

Publication Date 2014-10

Publication Place - Elsevier

Subject Hedge funds, Mutual funds, Macroeconomic risk, Economic uncertainty

Type Periodical

Language English

Digital Yes

Manuscript No

Library Özyeğin University

Library Asset ID 0304-405X

Record ID 476ac454-5662-4e67-b8b1-ef51f0a0989d

Library Location Economics

Date 2014-10

Sample Text This paper estimates hedge fund and mutual fund exposure to newly proposed measures of macroeconomic risk that are interpreted as measures of economic uncertainty. We find that the resulting uncertainty betas explain a significant proportion of the cross-sectional dispersion in hedge fund returns. However, the same is not true for mutual funds, for which there is no significant relationship. After controlling for a large set of fund characteristics and risk factors, the positive relation between uncertainty betas and future hedge fund returns remains economically and statistically significant. Hence, we argue that macroeconomic risk is a powerful determinant of cross-sectional differences in hedge fund returns.

DOI 10.1016/j.jfineco.2014.06.008

Cilt 114