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dc.contributor.authorBali, T. G.
dc.contributor.authorBrown, S. J.
dc.contributor.authorÇağlayan, Mustafa Onur
dc.date.accessioned2014-11-08T13:30:44Z
dc.date.available2014-11-08T13:30:44Z
dc.date.issued2014-10
dc.identifier.issn0304-405X
dc.identifier.urihttp://hdl.handle.net/10679/520
dc.identifier.urihttp://www.sciencedirect.com/science/article/pii/S0304405X14001354#
dc.description.abstractThis 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.en_US
dc.language.isoengen_US
dc.publisherElsevieren_US
dc.relation.ispartofJournal of Financial Economics
dc.rightsrestrictedAccess
dc.titleMacroeconomic risk and hedge fund returnsen_US
dc.typeArticleen_US
dc.peerreviewedyesen_US
dc.publicationstatuspublisheden_US
dc.contributor.departmentÖzyeğin University
dc.contributor.authorID21940
dc.contributor.ozuauthorÇağlayan, Mustafa Onur
dc.identifier.volume114
dc.identifier.issue1
dc.identifier.startpage1
dc.identifier.endpage19
dc.identifier.wosWOS:000342475700001
dc.identifier.doi10.1016/j.jfineco.2014.06.008
dc.subject.keywordsHedge fundsen_US
dc.subject.keywordsMutual fundsen_US
dc.subject.keywordsMacroeconomic risken_US
dc.subject.keywordsEconomic uncertaintyen_US
dc.identifier.scopusSCOPUS:2-s2.0-84912100505
dc.contributor.authorGenderMale


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