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http://ssrn.com/abstract=58650
 
 

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Hedge Funds and the Asian Currency Crisis of 1997


William N. Goetzmann


Yale School of Management - International Center for Finance; National Bureau of Economic Research (NBER)

Stephen J. Brown


New York University - Stern School of Business

James M. Park


PARADIGM Capital Management

May 13, 1998

Yale School of Management Working Paper No. F-58

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.

Number of Pages in PDF File: 30

JEL Classification: G2

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Date posted: February 11, 1998  

Suggested Citation

Goetzmann, William N. and Brown, Stephen J. and Park, James M., Hedge Funds and the Asian Currency Crisis of 1997 (May 13, 1998). Yale School of Management Working Paper No. F-58. Available at SSRN: http://ssrn.com/abstract=58650 or http://dx.doi.org/10.2139/ssrn.58650

Contact Information

William N. Goetzmann (Contact Author)
Yale School of Management - International Center for Finance ( email )
135 Prospect Street
P.O. Box 208200
New Haven, CT 06520-8200
United States
203-432-5950 (Phone)
203-432-8931 (Fax)
HOME PAGE: http://viking.som.yale.edu

National Bureau of Economic Research (NBER)
1050 Massachusetts Avenue
Cambridge, MA 02138
United States
Stephen J. Brown
New York University - Stern School of Business ( email )
Stern School of Business
44 West 4th Street
New York, NY 10012-1126
United States
212-998-0306 (Phone)
212-995-4233 (Fax)
James M. Park
PARADIGM Capital Management ( email )
12 East 49th Street, 32nd floor
New York, NY 10017
United States
212-271-3388 (Phone)
212-271-3393 (Fax)
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