Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/319997 
Erscheinungsjahr: 
2017
Schriftenreihe/Nr.: 
CASMEF Working Paper Series No. WP 2017/06
Verlag: 
LUISS Guido Carli, Department of Economics and Finance, Arcelli Centre for Monetary and Financial Studies, Rome
Zusammenfassung: 
We answer the somewhat narrower question of whether hedge funds adjust their conditional market exposure in response to real-time changes in macroeconomic conditions, and whether doing so improves their performance. We find that hedge funds di↵er substantially in their responsiveness to macroeconomic data. The most pro-cyclical market timers outperform their less active and counter-cyclical peers by over four percent annualized with a risk adjusted alpha of 5.5 percent.
Schlagwörter: 
nowcasting
business cycle
hedge funds
market timing
JEL: 
E32
G11
G20
Dokumentart: 
Working Paper

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