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 that higher market volatility is usually related to lower hedge …

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 … hedge funds operate. I find little evidence of volatility timing in the stock markets for these hedge fund indices …

in the U.S. Hedge funds anti-herd primarily based on fundamental information and irrespective of market volatility and … idiosyncratic volatility in subsequent periods, presenting a novel perspective to the relationship between anti …-herding, idiosyncratic volatility and expected returns. While the finding of anti-herding in the hedge fund industry is not unexpected as the …

growing importance of emerging markets, the literature on the nature of volatility in global markets is typified by … volatility in developed G7 and emerging BRICS markets. Broad market index data and GARCH models over the period 2003 …:01–2020:08 were employed. The study found evidence of volatility persistence, asymmetry, mean reversion and weak evidence of a risk …

. Proposed extensions include a volatility regime switching mechanism (using dummy variables and the Markov approach) and the … fifth risk factor based on realized volatility of index returns. Moreover, instead of using data for stocks of a particular …

In an augmented [Treynor and Mazuy, 1966] model, we find that realized volatility of emerging market financial indices … hedge fund managers are indeed negatively linked with the coefficients on realized volatility for hedge fund returns. Our …

The article focuses on forecasting idiosyncratic hedge fund return volatility using a non-linear Markov switching GARCH … (MS-GARCH) framework in which the conditional mean and volatility of systematic and idiosyncratic hedge fund return … forecasting performance of two competing conditional volatility specifications: GARCH(1,1) and MS-GARCH(1,1). The work employs …

While it is established that idiosyncratic volatility has a negative impact on the cross-section of future stock … returns, the relationship between idiosyncratic volatility and future hedge fund returns is largely unexplored. We document … that hedge funds with high idiosyncratic volatility outperform and this pattern is explained by the positive return effect …

While it is established that idiosyncratic volatility has a negative impact on the cross-section of future stock … returns, the relationship between idiosyncratic volatility and future hedge fund returns is largely unexplored. We document … that hedge funds with high idiosyncratic volatility outperform and this pattern is explained by the positive return effect …