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Market Dispersion and the Profitability of Hedge Funds

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  • Gregory Connor

    ()
    (Economics,Finance & Accounting, National University of Ireland, Maynooth)

  • Sheng Li

    (Citigroup)

Abstract

We examine the impact of market dispersion on the performance of hedge funds. Market dispersion is measured by the cross-sectional volatility of equity returns in a given month.Using hedge fund indices and a panel of monthly returns on individual hedge funds, we find that market dispersion and the performance of hedge funds are positively related. We also find that the cross-sectional dispersion of hedge fund returns is positively related to the levelof market dispersion.

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Bibliographic Info

Paper provided by Department of Economics, Finance and Accounting, National University of Ireland - Maynooth in its series Economics, Finance and Accounting Department Working Paper Series with number n2000109.pdf.

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Length: 35 pages
Date of creation: 2009
Date of revision:
Handle: RePEc:may:mayecw:n2000109.pdf

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Postal: Maynooth, Co. Kildare
Phone: 353-1-7083728
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Web page: http://economics.nuim.ie
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