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http://hdl.handle.net/2451/26859
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| Title: | Hedge Funds and the Asian Currency Crisis of 1997 |
| Authors: | Brown, Stephen J.
Goetzmann, William N.
Park, James M. |
| Issue Date: | 13-Jan-1998 |
| Series/Report no.: | FIN-98-014 |
| Abstract: | 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 rate. 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. |
| URI: | http://hdl.handle.net/2451/26859 |
| Appears in Collections: | Economics Working Papers
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