Market Dispersion and the Profitability of Hedge Funds
Gregory Connor () and
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Sheng Li: Citigroup
Economics Department Working Paper Series from Department of Economics, National University of Ireland - Maynooth
We examine the impact of market dispersion on the performance of hedge funds. Market dispersion is measured by the cross-sectional volatility of equity returns in a given month.Using hedge fund indices and a panel of monthly returns on individual hedge funds, we find that market dispersion and the performance of hedge funds are positively related. We also find that the cross-sectional dispersion of hedge fund returns is positively related to the levelof market dispersion.
Pages: 35 pages
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Persistent link: https://EconPapers.repec.org/RePEc:may:mayecw:n2000109.pdf
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