{"title":"失败风险与对冲基金收益的横截面","authors":"Jung-min Kim","doi":"10.2139/ssrn.2604794","DOIUrl":null,"url":null,"abstract":"Modeling a hedge fund’s probability of failure by a dynamic logit regression, I document that a probability of fund failure has a significantly negative effect on the fund’s future returns. A quintile portfolio with highest failure probability underperforms a quintile portfolio with lowest failure probability by 5~6% per year from 1997 to 2012. The results are robust to the definition of hedge fund failure and controlling for a large set of risk factors and fund characteristics. Moreover, the negative effect of failure probability on future fund returns is stronger for funds with weak share restrictions.","PeriodicalId":208756,"journal":{"name":"BOK ERI: Working Paper Series (Topic)","volume":"40 1","pages":"0"},"PeriodicalIF":0.0000,"publicationDate":"2015-05-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"7","resultStr":"{\"title\":\"Failure Risk and the Cross-Section of Hedge Fund Returns\",\"authors\":\"Jung-min Kim\",\"doi\":\"10.2139/ssrn.2604794\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"Modeling a hedge fund’s probability of failure by a dynamic logit regression, I document that a probability of fund failure has a significantly negative effect on the fund’s future returns. A quintile portfolio with highest failure probability underperforms a quintile portfolio with lowest failure probability by 5~6% per year from 1997 to 2012. The results are robust to the definition of hedge fund failure and controlling for a large set of risk factors and fund characteristics. Moreover, the negative effect of failure probability on future fund returns is stronger for funds with weak share restrictions.\",\"PeriodicalId\":208756,\"journal\":{\"name\":\"BOK ERI: Working Paper Series (Topic)\",\"volume\":\"40 1\",\"pages\":\"0\"},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2015-05-07\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"7\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"BOK ERI: Working Paper Series (Topic)\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.2139/ssrn.2604794\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"\",\"JCRName\":\"\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"BOK ERI: Working Paper Series (Topic)","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.2139/ssrn.2604794","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
Failure Risk and the Cross-Section of Hedge Fund Returns
Modeling a hedge fund’s probability of failure by a dynamic logit regression, I document that a probability of fund failure has a significantly negative effect on the fund’s future returns. A quintile portfolio with highest failure probability underperforms a quintile portfolio with lowest failure probability by 5~6% per year from 1997 to 2012. The results are robust to the definition of hedge fund failure and controlling for a large set of risk factors and fund characteristics. Moreover, the negative effect of failure probability on future fund returns is stronger for funds with weak share restrictions.
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