Hedge Funds and the Asian Currency Crisis of 1997
We 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 correlates did fluctuate dramatically over the last four years. However, these fluctuations were not associated with moves in the exchange rate. The estimated net positions of the major funds were not unusual during the crash period, nor were the profits of the funds during the crisis. In sum, we find no empirical evidence to support the hypothesis that George Soros, or any other hedge fund manager was responsible for the crisis
Year of publication: |
[2008]
|
---|---|
Authors: | Brown, Stephen J. |
Other Persons: | Goetzmann, William N. (contributor) ; Park, James M. (contributor) |
Publisher: |
[2008]: [S.l.] : SSRN |
Saved in:
freely available
Extent: | 1 Online-Ressource (34 p) |
---|---|
Series: | NYU Working Paper ; No. FIN-98-014 |
Type of publication: | Book / Working Paper |
Notes: | Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments January 1998 erstellt |
Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012768841
Saved in favorites
Similar items by person
-
Conditions for Survival: Changing Risk and the Performance of Hedge Fund Managers and CTAs
GOETZMANN, WILLIAM N., (2004)
-
Hedge Funds and the Asian Currency Crisis of 1997
Brown, Stephen J., (1998)
-
Brown, Stephen J., (2000)
- More ...