Market neutrality of market neutral hedge funds : contemporaneous and projected neutrality 1998-2007.

• Main Authors: Lin, Joel Zhihan., Shi, Qiqi., Teo, Jiahao.
• Other Authors: Kang, Joseph Choong Seok
• Format: Final Year Project
• Published: 2008
• Subjects: DRNTU::Business::Finance::Funds
• Online Access: http://hdl.handle.net/10356/11132
• Institution: Nanyang Technological University

Using fund-level data, we analyze both the contemporaneous and projected market neutrality of market neutral hedge funds for the 1998–2007. We found that consistent with existing studies, the estimates of coefficient for the market betas in contemporaneous neutrality test are statistically insignifi...