Macroeconomic risk and hedge fund returns

• 成果类型: Article
• 署名作者: Bali, Turan G.; Brown, Stephen J.; Caglayan, Mustafa O.
• 署名单位: Georgetown University; New York University; University of Melbourne; Ozyegin University
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2014.06.008
• 发表日期: 2014
• 页码: 1-19
• 关键词: HEDGE FUNDS; Mutual funds; Macroeconomic risk; Economic uncertainty

摘要

This paper estimates hedge fund and mutual fund exposure to newly proposed measures of macroeconomic risk that are interpreted as measures of economic uncertainty. We find that the resulting uncertainty betas explain a significant proportion of the cross-sectional dispersion in hedge fund returns. However, the same is not true for mutual funds, for which there is no significant relationship. After controlling for a large set of fund characteristics and risk factors, the positive relation between uncertainty betas and future hedge fund returns remains economically and statistically significant. Hence, we argue that macroeconomic risk is a powerful determinant of cross-sectional differences in hedge fund returns. (C) 2014 Elsevier B.V. All rights reserved.