Connor, Gregory and Li, Sheng (2009) Market Dispersion and the Profitability of Hedge Funds. Working Paper. Department of Economics Finance & Accounting NUI Maynooth. (Unpublished)
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Abstract
We 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.
| Item Type: | Monograph (Working Paper) |
|---|---|
| Academic Unit: | Faculty of Social Sciences > Economics, Finance and Accounting |
| Item ID: | 1226 |
| Depositing User: | Ms Sandra Doherty |
| Date Deposited: | 06 Feb 2009 10:32 |
| Publisher: | Department of Economics Finance & Accounting NUI Maynooth |
| URI: | |
| Use Licence: | This item is available under a Creative Commons Attribution Non Commercial Share Alike Licence (CC BY-NC-SA). Details of this licence are available here |
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