Hedge Funds and the Asian Currency Crisis of 1997

Stephen Brown (), William Goetzmann and James Park

Yale School of Management Working Papers from Yale School of Management

Abstract: 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 correl

Date: 1998-02-01, Revised 2008-04-01
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Related works:
Working Paper: Hedge Funds and the Asian Currency Crisis of 1997 (2008)
Working Paper: Hedge Funds and the Asian Currency Crisis of 1997 (1998)
Working Paper: Hedge Funds and the Asian Currency Crisis of 1997 (1998)
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Persistent link: https://EconPapers.repec.org/RePEc:ysm:somwrk:ysm84

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