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    Market Dispersion and the Profitability of Hedge Funds


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    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 (Unpublished)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
    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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