Chang, Jow-ran; Hung, Mao-wei; Lee, Cheng-few - In: Review of Quantitative Finance and Accounting 20 (2003) 4, pp. 415-33
Merton (1973) and Campbell (1993) have demonstrated that if an investor anticipates information shifts, he will adjust his portfolio choice today in an attempt to hedge these shifts. Exploiting these insights, we construct a new performance measure to evaluate fund managers' hedging ability....