Does Industry Timing Ability of Hedge Funds Predict Their Future Performance, Survival, and Fund Flows?
| Autor: | Turan G. Bali, Umut Celiker, Stephen J. Brown, Mustafa Caglayan |
|---|---|
| Rok vydání: | 2020 |
| Předmět: |
040101 forestry
Economics and Econometrics 050208 finance Earnings business.industry 05 social sciences 04 agricultural and veterinary sciences Information environment Monetary economics Hedge fund Manufacturing sector Accounting Capital (economics) Manufacturing 0502 economics and business 0401 agriculture forestry and fisheries business Probability of survival Finance |
| Zdroj: | Journal of Financial and Quantitative Analysis. 56:2136-2169 |
| ISSN: | 1756-6916 0022-1090 |
| Popis: | This paper investigates hedge funds’ ability to time industry-specific returns and shows that funds’ timing ability in the manufacturing industry improves their future performance, probability of survival, and ability to attract more capital. The results indicate that the best industry-timing hedge funds in the manufacturing sector have the highest return exposure to earnings surprises. This, together with persistently sticky earnings surprises, transparent information environment in regards to earnings releases, and large post-earnings-announcement drift in the manufacturing industry, explain to a great extent why best-timing hedge funds can generate significantly larger future returns compared to worst-timing hedge funds. |
| Databáze: | OpenAIRE |
| Externí odkaz: |
|