Market neutrality of market neutral hedge funds : contemporaneous and projected neutrality 1998-2007.
Lin, Joel Zhihan.
Date of Issue2008
College of Business (Nanyang Business School)
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 insignificant.
Final Year Project (FYP)
Nanyang Technological University