Market Dispersion and the Profitability of Hedge Funds
Connor, Gregory and Li, Sheng (2009) Market Dispersion and the Profitability of Hedge Funds. Department of Economics Finance & Accounting NUI Maynooth. AbstractWe examine the impact of market dispersion on the performance of hedge funds. Market
dispersion is measured by the cross-sectional volatility of equity returns in a given month.
Using hedge fund indices and a panel of monthly returns on individual hedge funds, we
nd
that market dispersion and the performance of hedge funds are positively related. We also
nd that the cross-sectional dispersion of hedge fund returns is positively related to the level
of market dispersion. | Subjects: | Social Sciences > Economics |
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| ID Code: | 1226 |
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| Deposited By: | Ms Sandra Doherty |
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| Deposited On: | 06 Feb 2009 10:32 |
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| Publisher: | Department of Economics Finance & Accounting NUI Maynooth |
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