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- W1750986787 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." @default.
- W1750986787 created "2016-06-24" @default.
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- W1750986787 date "2012-01-01" @default.
- W1750986787 modified "2023-10-17" @default.
- W1750986787 title "Emerging Market Betas and the Cross Section of Hedge Fund Returns" @default.
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- W1750986787 doi "https://doi.org/10.2139/ssrn.2037039" @default.
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