Emerging Market Exposures and the Predictability of Hedge Fund Returns
研究发现对冲基金对新兴市场股票和货币的敞口能正向预测其未来收益，且这种预测力源于基金经理的市场时机把握能力。
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.