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See detailThe Market Timing Skills of Hedge Funds during the Financial Crisis
Hübner, Georges ULg; Sougné, Danielle ULg; Cavé, Arnaud ULg

in Managerial Finance (2011), vol 38(issue 1), 4-26

The performance of a market timer can be measured through the Treynor and Mazuy (1966) model, provided the regression alpha is properly adjusted by using the cost of an option-based replicating portfolio ... [more ▼]

The performance of a market timer can be measured through the Treynor and Mazuy (1966) model, provided the regression alpha is properly adjusted by using the cost of an option-based replicating portfolio, as shown by Hübner (2010). We adapt this approach to the case of multi-factor models with positive, negative or neutral betas. This new approach is applied on a sample of hedge funds whose managers are likely to exhibit market timing skills. We stick to funds that post weekly returns, and analyze three hedge funds strategies in particular: long-short equity, managed futures, and funds of hedge funds. We analyze a particular period during which the managers of these funds are likely to magnify their presumed skills, namely around the financial and banking crisis of 2008. Some funds adopt a positive convexity as a response to the US market index, while others have a concave sensitivity to the returns of an emerging market index. Thus, we identify “positive”, “mixed” and “negative” market timers. A number of signs indicate that only positive market timers manage to acquire options below their cost, and deliver economic significant performance, even in the midst of the financial crisis. Negative market timers, by contrast, behave as if they were forced to sell options without getting the associated premium. We interpret this behavior as a possible result of fire sales, leading them to liquidate positions under the pressure of redemption orders, and inducing negative performance adjusted for market timing. [less ▲]

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See detailInvestor Sentiment, Mutual Fund Flows and its Impact on Returns and Volatility
Beaumont, Rob; Frijns, Bart; Lehnert, Thorsten et al

in Managerial Finance (2008), 34(11), 772-785

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See detailThe Asian Crisis Exchange Risk Exposure of U.S. Multinationals
Muller, Aline ULg; Verschoor, Willem

in Managerial Finance (2007), 33(9), 710-740

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See detailThe Long Run Performance of Malaysian Initial Public Offerings (IPOs): Value and Growth Effects
Corhay, Albert ULg; Teo, Stanley; Tourani Rad, Alireza

in Managerial Finance (2002), 28(2), 52-64

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See detailOn the presence of a day-of-the-week effect in the foreign exchange market
Corhay, Albert ULg; Fatemi, Ali M; Tourani-Rad, Alireza

in Managerial Finance (1995), 21(8), 32-43

The purpose of this paper is to study the presence of the day-of-the-week effect in the foreign exchange market using an extensive data set of six exchange rates and employing two alternative types of ... [more ▼]

The purpose of this paper is to study the presence of the day-of-the-week effect in the foreign exchange market using an extensive data set of six exchange rates and employing two alternative types of distributional assumptions and also distribution-free tests. Our findings support the hypotheses of higher Wednesday returns prior to October 1, 1981, for the British pound, the Canadian dollar, the Deutsch mark, the French franc, the Swiss franc and the Japanese yen. Pursuant to the change in the settlement procedures which took effect October 1, 1981, the differential Wednesday returns disappear. [less ▲]

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