Abstract
In this study, we propose a set of covariates that exploit information content of hedge funds’ relative size, performance, growth, tail risk, and past liquidation rate, in predicting their liquidation. Empirical results show that our proposed covariates exhibit significant predictive power for up to two years even when we control for fund specific characteristics. Furthermore, we estimate separate liquidation
prediction models for small, medium, and large funds. Our findings suggest that liquidation likelihood of hedge funds is inversely related to fund size, and statistical significance of factors affecting their liquidation vary across different size categories.
prediction models for small, medium, and large funds. Our findings suggest that liquidation likelihood of hedge funds is inversely related to fund size, and statistical significance of factors affecting their liquidation vary across different size categories.
| Original language | English |
|---|---|
| Journal | European Financial Management |
| Early online date | 16 Oct 2017 |
| Publication status | E-pub ahead of print - 16 Oct 2017 |
Bibliographical note
The materials on SSRN may be downloaded solely for personal, non-commercial informational or scholarly use. No materials may otherwise be copied, modified, published, broadcast or otherwise distributed.Keywords
- hedge fund
- liquidation
- fund size
- failure
- default