Financial Management (Wiley-Blackwell). Winter2016, Vol. 45 Issue 4, p845-876. 32p.

破産風險與橫截面的對沖基金回報

作者：Jung-Min Kim (Ohio State University (OSU) - Fisher College of Business )

摘要：通過使用動态Logit回歸構建關于對沖基金破産概率的模型，作者發現基金破産的概率對基金未來回報有顯著負面的影響。在1997年到2012年間，破産概率最高的五分之一投資組合表現比破産概率最低的投資組合表現每年要差5%至6%。在對對沖基金破産的不同定義上以及控制大量風險因子和基金特征上，研究結果都顯示出了足夠的穩健性。而且，對于那些有較弱股權限制的基金而言，破産概率對基金未來回報的負面影響更為顯著。

Failure Risk and the Cross-Section of Hedge Fund Returns.

Jung-Min Kim （Ohio State University (OSU) - Fisher College of Business ）

ABSTRACT：

Modeling a hedge fund's probability of failure with a dynamic logit regression, I find that the probability of a fund's failure has a significantly negative effect on the fund's future returns. A quintile portfolio with the highest failure probability underperforms a quintile portfolio with the lowest failure probability by 5% to 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.

原文鍊接：

http://www.fma.org/Reno/Papers/FailureRiskofHF_FMA2009.pdf

翻譯：孫雨琦