Finance and Financial Management Commons^™

Two Essays On The Effect Of Macroeconomic News On The Stock Market, Ajay Kongera

Theses and Dissertations in Business Administration

This dissertation uses macroeconomic variables. In the first essay I use macroeconomic variables to determine if these variables affect the market's returns and volatilities, and in the second essay I examine whether the 11-month returns can be explained by these variables.

Using macroeconomic variables and forecasts of these variables on a quarterly basis from the Survey of Professional Forecasters, I first develop macroeconomic surprise variables. The macroeconomic surprise variables are then modified by dispersion of forecasts to adjust for surprises from uncertainty. Dispersion adjusted forecast surprises have not been used extensively in the literature. I also use a monetary shock …

Hedge Funds, Managerial Skill, And Macroeconomic Variables, Doron Avramov, Robert Kosowski, Narayan Y. Naik, Melvyn Teo

Research Collection BNP Paribas Hedge Fund Centre

Duplicate, see https://ink.library.smu.edu.sg/lkcsb_research/1867/. This paper evaluates hedge fund performance through portfolio strategies that incorporate predictability based on macroeconomic variables. Incorporating predictability substantially improves out-of-sample performance for the entire universe of hedge funds as well as for various investment styles. While we also allow for predictability in fund risk loadings and benchmark returns, the major source of investment profitability is predictability in managerial skills. In particular, long-only strategies that incorporate predictability in managerial skills outperform their Fung and Hsieh (2004) benchmarks by over 17 percent per year. The economic value of predictability obtains for different rebalancing horizons and alternative benchmark …

Hedge Funds, Managerial Skill, And Macroeconomic Variables, Doron Avramov, Robert Kosowski, Narayan Y. Naik, Melvyn Teo

Research Collection Lee Kong Chian School Of Business

This paper evaluates hedge fund performance through portfolio strategies that incorporate predictability based on macroeconomic variables. Incorporating predictability substantially improves out-of-sample performance for the entire universe of hedge funds as well as for various investment styles. While we also allow for predictability in fund risk loadings and benchmark returns, the major source of investment profitability is predictability in managerial skills. In particular, long-only strategies that incorporate predictability in managerial skills outperform their Fung and Hsieh (2004) benchmarks by over 17% per year. The economic value of predictability obtains for different rebalancing horizons and alternative benchmark models. It is also robust …