Predicting Hedge Fund failure : the role of risk across time

Detalhes bibliográficos
Autor(a) principal: Gaspar, Francisco Guilherme Nazaré
Data de Publicação: 2015
Tipo de documento: Dissertação
Idioma: eng
Título da fonte: Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
Texto Completo: http://hdl.handle.net/10400.14/18749
Resumo: This study focuses on the relation between the risk profile of a hedge fund and its probability to fail. We propose to model the failure event using survival analysis through a Cox Hazards Model while incorporating piecewise effects in the risk covariate. Empirical results suggest that there has been a shift in the relationship between the risk profile of a hedge fund and its probability of failure. For the period between 1995 and 2006, larger risk was associated with higher probability of failure whereas since 2007, increasing risk levels reduce the risk of failure of hedge funds. We are the first to show this effect and use this model in Hedge Funds literature. These findings allow investors to better understand the dynamics of risk and probability to fail and may have huge implications in portfolio composition.
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spelling Predicting Hedge Fund failure : the role of risk across timeDomínio/Área Científica::Ciências Sociais::Economia e GestãoThis study focuses on the relation between the risk profile of a hedge fund and its probability to fail. We propose to model the failure event using survival analysis through a Cox Hazards Model while incorporating piecewise effects in the risk covariate. Empirical results suggest that there has been a shift in the relationship between the risk profile of a hedge fund and its probability of failure. For the period between 1995 and 2006, larger risk was associated with higher probability of failure whereas since 2007, increasing risk levels reduce the risk of failure of hedge funds. We are the first to show this effect and use this model in Hedge Funds literature. These findings allow investors to better understand the dynamics of risk and probability to fail and may have huge implications in portfolio composition.Faias, José Afonso de Carvalho TavaresVeritati - Repositório Institucional da Universidade Católica PortuguesaGaspar, Francisco Guilherme Nazaré2015-12-04T12:36:55Z2015-11-0220152015-11-02T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/masterThesisapplication/pdfhttp://hdl.handle.net/10400.14/18749TID:201170507enginfo:eu-repo/semantics/openAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2023-07-12T17:24:28Zoai:repositorio.ucp.pt:10400.14/18749Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-19T18:15:38.109189Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse
dc.title.none.fl_str_mv Predicting Hedge Fund failure : the role of risk across time
title Predicting Hedge Fund failure : the role of risk across time
spellingShingle Predicting Hedge Fund failure : the role of risk across time
Gaspar, Francisco Guilherme Nazaré
Domínio/Área Científica::Ciências Sociais::Economia e Gestão
title_short Predicting Hedge Fund failure : the role of risk across time
title_full Predicting Hedge Fund failure : the role of risk across time
title_fullStr Predicting Hedge Fund failure : the role of risk across time
title_full_unstemmed Predicting Hedge Fund failure : the role of risk across time
title_sort Predicting Hedge Fund failure : the role of risk across time
author Gaspar, Francisco Guilherme Nazaré
author_facet Gaspar, Francisco Guilherme Nazaré
author_role author
dc.contributor.none.fl_str_mv Faias, José Afonso de Carvalho Tavares
Veritati - Repositório Institucional da Universidade Católica Portuguesa
dc.contributor.author.fl_str_mv Gaspar, Francisco Guilherme Nazaré
dc.subject.por.fl_str_mv Domínio/Área Científica::Ciências Sociais::Economia e Gestão
topic Domínio/Área Científica::Ciências Sociais::Economia e Gestão
description This study focuses on the relation between the risk profile of a hedge fund and its probability to fail. We propose to model the failure event using survival analysis through a Cox Hazards Model while incorporating piecewise effects in the risk covariate. Empirical results suggest that there has been a shift in the relationship between the risk profile of a hedge fund and its probability of failure. For the period between 1995 and 2006, larger risk was associated with higher probability of failure whereas since 2007, increasing risk levels reduce the risk of failure of hedge funds. We are the first to show this effect and use this model in Hedge Funds literature. These findings allow investors to better understand the dynamics of risk and probability to fail and may have huge implications in portfolio composition.
publishDate 2015
dc.date.none.fl_str_mv 2015-12-04T12:36:55Z
2015-11-02
2015
2015-11-02T00:00:00Z
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/masterThesis
format masterThesis
status_str publishedVersion
dc.identifier.uri.fl_str_mv http://hdl.handle.net/10400.14/18749
TID:201170507
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identifier_str_mv TID:201170507
dc.language.iso.fl_str_mv eng
language eng
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instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
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instname_str Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
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repository.name.fl_str_mv Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
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