Using data from Hedge Fund Research, Inc. (HFR), this study adapts and expands
on existing methods in survival analysis in an attempt to investigate whether hedge
funds mortality can be predicted on the basis of certain hedge funds characteristics.
The main idea is to determine the characteristics which contribute the most to the
survival and failure probabilities of hedge funds and interpret them. We establish hazard
models with time-independent covariates, as well as time-varying covariates to interpret
the selected hedge funds characteristics. Our results show that size, age, performance,
strategy, annual audit, fund offshore and fund denomination are the characteristics that
best explain hedge fund failure. We find that 1% increase in performance decreases
the hazard by 3.3%, the small size and the less than 5 years old hedge funds are the
most likely to die and the event-driven strategy is the best to use as compare to others.
The risk of death is 0.668 times lower for funds who indicated that an annual audit
is performed as compared to the funds who did not indicated that an annual audit is
performed. The risk of death for the offshore hedge funds is 1.059 times higher than the
non-offshore hedge funds.
| Identifer | oai:union.ndltd.org:LACETR/oai:collectionscanada.gc.ca:OOU.#10393/26257 |
| Date | 24 October 2013 |
| Creators | Nhogue Wabo, Blanche Nadege |
| Source Sets | Library and Archives Canada ETDs Repository / Centre d'archives des thèses électroniques de Bibliothèque et Archives Canada |
| Language | English |
| Detected Language | English |
| Type | Thèse / Thesis |
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