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

Adam Aiken, Osman Kilic and Sean Reid

Review of Financial Economics, 2016, vol. 29, issue C, 2-11

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.

Keywords: Hedge funds; Market timing; Emerging markets (search for similar items in EconPapers)
JEL-codes: C2 G11 G12 G15 G23 (search for similar items in EconPapers)
Date: 2016
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Persistent link: https://EconPapers.repec.org/RePEc:eee:revfin:v:29:y:2016:i:c:p:2-11

DOI: 10.1016/j.rfe.2015.05.002

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