Business Faculty Publications
Document Type
Article
Publication Date
9-2021
Publication Title
Journal of Financial and Quantitative Analysis
Keywords
Hedge funds; timing ability; industry returns.
Disciplines
Business | Finance and Financial Management | Portfolio and Security Analysis
Abstract
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.
Recommended Citation
Bali, Turan G.; Brown, Stephen J.; Caglayan, Mustafa O.; and Celiker, Umut, "Does Industry Timing Ability of Hedge Funds Predict Their Future Performance, Survival, and Fund Flows?" (2021). Business Faculty Publications. 342.
https://engagedscholarship.csuohio.edu/bus_facpub/342
DOI
https://doi.org/10.1017/S0022109020000794
Version
Publisher's PDF
Publisher's Statement
Originally published in Journal of Financial and Quantitative Analysis, by Cambridge University Press, on behalf of the Michael G Foster School of Business, University of Washington. Copyright belongs to the authors. Available at https://doi.org/10.1017/S0022109020000794
Volume
56
Issue
6
