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Persistent link: https://www.econbiz.de/10009674080
In this paper, we use the matching emerging stock and bond market indices to examine the hedge fund returns in different emerging markets. Additionally, we show that including a simple day-to-day market volatility measure in our model helps to improve its explanatory power. Our results indicate...
Persistent link: https://www.econbiz.de/10013154967
In this paper, I use the Busse (1999) volatility timing model and the cubic model in Holmes and Faff (2004) to examine the volatility timing ability reflected in the hedge fund indices from four major emerging market regions. The performance of the emerging market hedge fund indices are...
Persistent link: https://www.econbiz.de/10013037922
In this paper, we estimate several augmented [Treynor and Mazuy1966] models to examine the performance of hedge fund index returns in four different emerging market regions. In our estimations we match the fund returns with the regional emerging market equity and bond index data, which is a...
Persistent link: https://www.econbiz.de/10013133215