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- Title
Emerging Market Exposures and the Predictability of Hedge Fund Returns.
- Authors
Caglayan, Mustafa Onur; Ulutas, Sevan
- Abstract
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.
- Subjects
EMERGING markets; HEDGE funds; RATE of return; INVESTMENT advisors; INVESTORS; PREDICTION models
- Publication
Financial Management (Wiley-Blackwell), 2014, Vol 43, Issue 1, p149
- ISSN
0046-3892
- Publication type
Article
- DOI
10.1111/fima.12029