Browsing Business Administration by OzU Authors "Çağlayan, Mustafa Onur"
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Do hedge funds’ exposures to risk factors predict their future returns?
Bali, T. G.; Brown, S.; Çağlayan, Mustafa Onur (Elsevier, 2011-07)This paper investigates hedge funds’ exposures to various financial and macroeconomic risk factors through alternative measures of factor betas and examines their performance in predicting the crosssectional variation in ... -
Emerging market exposures and the predictability of hedge fund returns
Çağlayan, Mustafa Onur; Ulutaş, Sevan (Wiley, 2014)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 ... -
Optimized calibration of currency market strategies
We propose a new financial indicator and risk metric embedded in a currency trading model to assist investors in currency markets. Since our model is highly nonlinear, we utilize global optimization technology to maximize ...
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