Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
986634 | Review of Financial Economics | 2016 | 10 Pages |
Abstract
This paper examines the ability of global hedge funds to time a particularly volatile asset class — emerging market equities. In particular, we study whether or not these funds can either time emerging markets as a whole, or time their exposures to different regions. Using both pooled and calendar-time approaches, we generally find no evidence of overall timing ability. However, we do find some evidence of period-specific timing ability during the financial crisis and subsequent recovery.
Keywords
Related Topics
Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
Adam L. Aiken, Osman Kilic, Sean Reid,