Title

Can hedge funds time global equity markets? Evidence from emerging markets

Document Type

Article

Publication Date

4-1-2016

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.

Publication Name

Review of Financial Economics

Volume Number

29

First Page

2

Last Page

11

DOI

10.1016/j.rfe.2015.05.002

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