This article focuses on the performance of Australian hedge funds. Using a survivorship bias free sample, we investigate whether Australian hedge fund managers have the ability to outguess the market. Specifically, we test the market timing and volatility timing skills of fund managers. Our findings show that Australian hedge fund managers do not possess market timing skills, but they do exhibit superior stock selection ability. Our findings also show that while Australian managers do not have market volatility timing skills, their US counterparts do exhibit such skills.
|Number of pages||12|
|Journal||Applied Financial Economics|
|Publication status||Published - 2009|