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The Effect of Market Dispersion on the Performance of Hedge Funds

Resource type
Graduating extended essay / Research project
Date created
2011-08
Authors/Contributors
Author: Boz, Elif
Author: Ruintan, Pooneh
Abstract
We study the effect of market dispersion on the performance of hedge funds. Market dispersion is measured by the cross-sectional volatility of equity returns in a specific month. We use hedge fund indices to measure performance of the hedge fund and stocks returns to calculate market dispersion. We found that there is a positive relationship between market dispersion and the performance of hedge funds.
Description
FRM Project-Simon Fraser University

Keywords

Copyright statement
Copyright is held by the author(s).
Permissions
You are free to copy, distribute and transmit this work under the following conditions: You must give attribution to the work (but not in any way that suggests that the author endorses you or your use of the work); You may not use this work for commercial purposes.
Scholarly level
Graduate student (Masters)
Peer reviewed?
No
Language
English
Member of collection
Beedie School of Business: Segal Graduate School Final Projects
Download file Size
FRM 2011 Elif Boz and Pooneh Ruintan.pdf 414.41 KB

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