Predicting Hedge Fund failure : the role of risk across time
Autor(a) principal: | |
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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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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 |
url |
http://hdl.handle.net/10400.14/18749 |
identifier_str_mv |
TID:201170507 |
dc.language.iso.fl_str_mv |
eng |
language |
eng |
dc.rights.driver.fl_str_mv |
info:eu-repo/semantics/openAccess |
eu_rights_str_mv |
openAccess |
dc.format.none.fl_str_mv |
application/pdf |
dc.source.none.fl_str_mv |
reponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação instacron:RCAAP |
instname_str |
Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação |
instacron_str |
RCAAP |
institution |
RCAAP |
reponame_str |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
collection |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
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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1799131836443525120 |