Macroeconomic risk and hedge fund returns

Name: Macroeconomic risk and hedge fund returns
Author: Bali, T. G., Brown, S. J., Çağlayan, Mustafa Onur

İsim	Macroeconomic risk and hedge fund returns
Yazar	Bali, T. G., Brown, S. J., Çağlayan, Mustafa Onur
Basım Tarihi:	2014-10
Basım Yeri	- Elsevier
Konu	Hedge funds, Mutual funds, Macroeconomic risk, Economic uncertainty
Tür	Süreli Yayın
Dil	İngilizce
Dijital	Evet
Yazma	Hayır
Kütüphane:	Özyeğin Üniversitesi
Demirbaş Numarası	0304-405X
Kayıt Numarası	476ac454-5662-4e67-b8b1-ef51f0a0989d
Lokasyon	Economics
Tarih	2014-10
Örnek Metin	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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Macroeconomic risk and hedge fund returns

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

Basım Tarihi 2014-10

Basım Yeri - Elsevier

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

Tür Süreli Yayın

Dil İngilizce

Dijital Evet

Yazma Hayır

Kütüphane Özyeğin Üniversitesi

Demirbaş Numarası 0304-405X

Kayıt Numarası 476ac454-5662-4e67-b8b1-ef51f0a0989d

Lokasyon Economics

Tarih 2014-10

Örnek Metin 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