Business Administration

Permanent URI for this collectionhttps://hdl.handle.net/10679/42

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Browsing by Institution Author "ÇAĞLAYAN, Mustafa Onur"

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    Do hedge funds’ exposures to risk factors predict their future returns?
    (Elsevier, 2011-07) Bali, T. G.; Brown, S.; Çağlayan, Mustafa Onur; Economics; ÇAĞLAYAN, Mustafa Onur
    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 hedge fund returns. Both parametric and nonparametric tests indicate a significantly positive (negative) link between default premium beta (inflation beta) and future hedge fund returns. The results are robust across different subsample periods and states of the economy, and after controlling for market, size, book-to-market, and momentum factors as well as the trendfollowing factors in stocks, short-term interest rates, currencies, bonds, and commodities. The paper also provides macro and micro level explanations of our findings.
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    Emerging market exposures and the predictability of hedge fund returns
    (Wiley, 2014) Çağlayan, Mustafa Onur; Ulutaş, Sevan; Economics; ÇAĞLAYAN, Mustafa Onur
    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 present evidence that the strong predictive power of emerging market betas is related to the superior market-timing ability of these fund managers. Results are robust after controlling for commonly used hedge fund factors, the emerging market equity index, lagged fund returns, liquidity risk, and fund characteristics. Our results suggest that hedge funds can earn positive excess returns by timing their exposure to emerging market securities.
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    Conference ObjectPublicationOpen Access
    Optimized calibration of currency market strategies
    (2010) Çağlayan, Mustafa Onur; Pinter, Janos D.; Economics; Industrial Engineering; ÇAĞLAYAN, Mustafa Onur; PINTER, Janos
    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 the performance of the currency basket, based on our selection of key decision variables. We introduce the model and present numerical results based on actual market data.