Do Australian hedge fund managers possess timing abilities?

Viet Do, Robert Faff, Madhu Veeraraghavan

    Research output: Contribution to journalArticlepeer-review

    Abstract

    This article focuses on the performance of Australian hedge funds. Using a survivorship bias free sample, we investigate whether Australian hedge fund managers have the ability to outguess the market. Specifically, we test the market timing and volatility timing skills of fund managers. Our findings show that Australian hedge fund managers do not possess market timing skills, but they do exhibit superior stock selection ability. Our findings also show that while Australian managers do not have market volatility timing skills, their US counterparts do exhibit such skills.
    Original languageEnglish
    Pages (from-to)27-38
    Number of pages12
    JournalApplied Financial Economics
    Volume19
    Issue number1
    DOIs
    Publication statusPublished - 2009

    Keywords

    • Australia
    • United States
    • hedge funds
    • stock exchanges

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