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

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  • Aiken, Adam L.
  • Kilic, Osman
  • Reid, Sean

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.

Suggested Citation

  • Aiken, Adam L. & Kilic, Osman & Reid, Sean, 2016. "Can hedge funds time global equity markets? Evidence from emerging markets," Review of Financial Economics, Elsevier, vol. 29(C), pages 2-11.
  • Handle: RePEc:eee:revfin:v:29:y:2016:i:c:p:2-11
    DOI: 10.1016/j.rfe.2015.05.002
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    References listed on IDEAS

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    Cited by:

    1. Gerhard Lechner & Rupert Beinhauer, 2018. "Are Commodity Hedge Funds interesting for institutional investors?," Journal of Finance and Investment Analysis, SCIENPRESS Ltd, vol. 7(1), pages 1-1.

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    More about this item

    Keywords

    Hedge funds; Market timing; Emerging markets;
    All these keywords.

    JEL classification:

    • C2 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • G23 - Financial Economics - - Financial Institutions and Services - - - Non-bank Financial Institutions; Financial Instruments; Institutional Investors

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