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...

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...

We uncover a new channel through which shocks are transmitted across international markets. Investor flows to funds domiciled in developed markets force significant changes in their portfolio allocations to emerging markets. These forced trades affect equity prices, correlations between emerging...

We examine Emerging Market and Global Macro hedge funds and find a significant positive relation between hedge funds' future returns and their exposure to both emerging market equities and emerging market currencies. We present evidence that the strong predictive power of emerging market betas...

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...

The aim of this paper is to analyse the development strategies of an innovative Special Purpose Vehicle (SPV) for sustainable and responsible investments (SRI). This contribution represents a premiere for the Romanian capital market, an emerging market with low liquidity and limited...

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...