| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w6427 |
| 来源ID | Working Paper 6427 |
| Hedge Funds and the Asian Currency Crisis of 1997 | |
| Stephen J. Brown; William N. Goetzmann; James Park | |
| 发表日期 | 1998-02-01 |
| 出版年 | 1998 |
| 语种 | 英语 |
| 摘要 | We test the hypothesis that hedge funds were responsible for the crash in the Asian currencies in late 1997 . To do so, we develop estimates of the changing positions of the largest ten currency funds in one currency, the Malaysian ringgit and to a basket of Asian currencies. Our methodology is adapted from the Sharpe's (1992) style analysis approach that decomposes fund returns. We find that the net long or short positions in the ringgit or its correlates did fluctuate dramatically over the last four years. However, these fluctuations were not associated with moves in the exchange rates. The estimated net positions of the major funds were not unusual during the crash period, nor were the profits of the funds during the crisis. In sum, we find no empirical evidence to support the hypothesis that George Soros, or any other hedge fund manager was responsible for the crisis. |
| URL | https://www.nber.org/papers/w6427 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/563941 |
| 推荐引用方式 GB/T 7714 | Stephen J. Brown,William N. Goetzmann,James Park. Hedge Funds and the Asian Currency Crisis of 1997. 1998. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w6427.pdf（937KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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