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
