نویسنده
Çağlayan, Mustafa Onur, Ulutaş, Sevan
تاریخ انتشار
2014
محل انتشار
-
Wiley
موضوع
Cross-section, Risk, Performance, Strategies, Persistence, Efficiency, Momentum, Managers
نوع
دوره ای
زبان
انگلیسی
دیجیتال
بله
نسخه خطی
خیر
کتابخانه
دانشگاه اوزیغین
شناسه دارایی کتابخانه
1755-053X
شماره ثبت
99f326e0-bfa4-46d5-81cb-630763ae430f
محل کتابخانه
Economics
تاریخ
2014
یادداشتها
Due to copyright restrictions, the access to the full text of this article is only available via subscription.
متن نمونه
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
