Emerging market exposures and the predictability of hedge fund returns

Name: Emerging market exposures and the predictability of hedge fund returns
Author: Çağlayan, Mustafa Onur, Ulutaş, Sevan

İsim	Emerging market exposures and the predictability of hedge fund returns
Yazar	Çağlayan, Mustafa Onur, Ulutaş, Sevan
Basım Tarihi:	2014
Basım Yeri	- Wiley
Konu	Cross-section, Risk, Performance, Strategies, Persistence, Efficiency, Momentum, Managers
Tür	Süreli Yayın
Dil	İngilizce
Dijital	Evet
Yazma	Hayır
Kütüphane:	Özyeğin Üniversitesi
Demirbaş Numarası	1755-053X
Kayıt Numarası	99f326e0-bfa4-46d5-81cb-630763ae430f
Lokasyon	Economics
Tarih	2014
Notlar	Due to copyright restrictions, the access to the full text of this article is only available via subscription.
Örnek Metin	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

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Emerging market exposures and the predictability of hedge fund returns

Yazar Çağlayan, Mustafa Onur, Ulutaş, Sevan

Basım Tarihi 2014

Basım Yeri - Wiley

Konu Cross-section, Risk, Performance, Strategies, Persistence, Efficiency, Momentum, Managers

Tür Süreli Yayın

Dil İngilizce

Dijital Evet

Yazma Hayır

Kütüphane Özyeğin Üniversitesi

Demirbaş Numarası 1755-053X

Kayıt Numarası 99f326e0-bfa4-46d5-81cb-630763ae430f

Lokasyon Economics

Tarih 2014

Notlar Due to copyright restrictions, the access to the full text of this article is only available via subscription.

Örnek Metin 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