TY  - JOUR
AU  - Brown,Stephen J.
AU  - Goetzmann,William N.
AU  - Park,James
TI  - Hedge Funds and the Asian Currency Crisis of 1997
JF  - National Bureau of Economic Research Working Paper Series
VL  - No. 6427
PY  - 1998
Y2  - February 1998
UR  - http://www.nber.org/papers/w6427
L1  - http://www.nber.org/papers/w6427.pdf
N1  - Author contact info:
Stephen J. Brown
Stern School of Business
New York University
New York, NY 10012
Tel: 718 273 0317
Fax: 718 981 7239
E-Mail: sbrown@stern.nyu.edu

William N. Goetzmann
School of Management
Yale University
Box 208200
New Haven, CT 06520-8200
Tel: 203/432-5950
Fax: 203/432-3003
E-Mail: william.goetzmann@yale.edu

James Park
E-Mail: parkjamesh@yahoo.com
M2  - featured in NBER digest on 1998-10-01
AB  - 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.
ER  -