Financial Management . Spring2014, Vol. 43 Issue 1, p149-180. 32p.

新兴市场暴露和对冲基金收益可预测性

作者：Caglayan, Mustafa Onur (Ozyegin University in Alemda?, ?ekmek?y, Istanbul, Turkey), Ulutas, Sevan (Ozyegin University, Istanbul, Turkey)

摘要：我们检验了新兴市场和全球宏观对冲基金，发现对冲基金未来收益与它们对新兴市场股票和货币暴露之间存在显著的正向关系。我们提供的证据表明新兴市场beta的强预测能力与这些基金经理较高的市场择时能力是相关的。在控制了通常使用的对冲基金因子、新兴市场股票指数、滞后的基金收益、流动性风险和基金特征后，结果是稳健的。我们的结果表明对冲基金可以通过它们对新兴市场证券的暴露赚取正的超额回报。

Emerging Market Exposures and the Predictability of Hedge Fund Returns.

Caglayan, Mustafa Onur (Ozyegin University in Alemda?, ?ekmek?y, Istanbul, Turkey), Ulutas, Sevan (Ozyegin University, Istanbul, Turkey)

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.

原文链接：

http://web.a.ebscohost.com/ehost/pdfviewer/pdfviewer?sid=bb34fd5c-99ac-48e0-955e-850216d25bd9%40sessionmgr4010&vid=3&hid=4002

翻译：孙雨琦