Hedge Funds and the Asian Currency Crisis of 1997
AbstractWe test the hypothesis that hedge funds were responsible for the crash in the Asian currencies in late 1997. To do so, we develop estimates of the changing positions of the largest ten currency funds in one currency, the Malaysian ringgit and to a basket of Asian currencies. Our methodology is adapted from the Sharpe?s (1992) style analysis approach that decomposes fund returns. We find that the net long or short positions in the ringgit or its correl
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Bibliographic InfoPaper provided by Yale School of Management in its series Yale School of Management Working Papers with number ysm84.
Date of creation: 01 Feb 1998
Date of revision: 01 Apr 2008
Other versions of this item:
- Stephen J. Brown & William N. Goetzmann & James M. Park, 1998. "Hedge Funds and the Asian Currency Crisis of 1997," New York University, Leonard N. Stern School Finance Department Working Paper Seires 98-014, New York University, Leonard N. Stern School of Business-.
- Stephen J. Brown & William N. Goetzmann & James Park, 1998. "Hedge Funds and the Asian Currency Crisis of 1997," NBER Working Papers 6427, National Bureau of Economic Research, Inc.
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- Fung, William & Hsieh, David A, 1997. "Empirical Characteristics of Dynamic Trading Strategies: The Case of Hedge Funds," Review of Financial Studies, Society for Financial Studies, vol. 10(2), pages 275-302.
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