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Hedge Fund
Scholarly Compositions - Featured Authors
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Dr.
Yong Chen
Ph.D. Candidate in Finance
Carroll School of Management
Boston College
Academic Home Page •
Curriculum Vitae
Research
Interests:
Mr. Yong Chen is a Ph.D. candidate in Finance Department at Carroll
School of Management at Boston College (Chestnut Hill, MA), expected
to graduate in May 2007. He received bachelor’s and master’s degrees
in economics from Nankai University (China) with honors. Prior to
Boston College, he attended the doctoral program in economics at
Emory University (Atlanta, GA), where he received the University
Fellowship. He is a member of the American Finance Association.
Mr. Chen’s research interests focus on empirical asset pricing,
evaluation of investment performance, and hedge funds and mutual
funds. His research has been forthcoming in the Journal of Financial
and Quantitative Analysis, and also been presented at national and
international conferences such as Western Finance Association,
European Finance Association, Financial Management Association,
Southern Finance Association, Southwestern Finance Association
meetings, Gutmann Symposium on Hedge Funds at University of Vienna,
and the Sixth Annual Transatlantic Doctoral Conference at London
Business School. His paper “Timing Ability in the Focus Market of
Hedge Funds,” funded by the Foundation for Managed Derivatives
Research, was awarded the Outstanding Doctoral Paper at the 2005
Southwestern Finance Association annual meeting. In addition, he
serves as a referee for several professional finance journals.
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Do
Market Timing Hedge Funds Time the Market?
by Yong Chen & Bing Liang
Boston College & University of Massachusetts at Amherst
Journal of Financial and Quantitative Analysis, forthcoming
Abstract
This paper examines whether self-described market timing hedge
funds have the ability to time the U.S. equity market. We
propose a new measure for timing return and volatility jointly
that relates fund returns to the squared Sharpe ratio of the
market portfolio. Using a sample of 221 market timing funds
during 1994-2005, we find evidence of timing ability at both the
aggregate and fund levels. Timing ability appears relatively
strong in bear and volatile market conditions. Our findings are
robust to other explanations, including public information–based
strategies, options trading, and illiquid holdings. Bootstrap
analysis shows that the evidence is unlikely to be attributed to
luck.
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Timing Ability in the Focus Market of Hedge Funds
by Yong Chen
Boston College
2005
Abstract
This paper examines the timing ability of hedge funds covering
various investment categories. We extend Treynor-Mazuy (1966)
and Henriksson-Merton (1981) market timing models to a multiple
market framework, and propose the concept of focus market in
which the fund trades most actively. Concentrating on the focus
market enables us to parsimoniously apply the conditional
multifactor models. With a large sample of 1,471 hedge funds
during the period 1994-2002, we show evidence of significant
timing ability in the focus markets including bond, currency,
and equity market, at both the category level and the individual
fund level. Finally, tests on performance persistence present
some supportive evidence within a short horizon.
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