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Activity Number: 550
Type: Contributed
Date/Time: Wednesday, August 3, 2016 : 10:30 AM to 12:20 PM
Sponsor: Business and Economic Statistics Section
Abstract #319123 View Presentation
Title: What Is the Best Model to Predict Real Failure of Hedge Funds?
Author(s): Jose Faias* and Leila Amorim
Companies: Catolica Lisbon SBE and UFBA
Keywords: Survival model ; prediction ; Cox ; Parametric ; hedge funds

The real failure of hedge funds has increased substantially and it has achieved a rate of 8% at the end of 2012. Past literature has addressed failure of hedge funds using ad hoc models ignoring which one fits the data best. We run a comprehensive evaluation of parametric and semi-parametric models (over 30,000) for a sample constituted by more than 3,000 funds between 1995 and 2013 to study real failure. A model incorporating time-varying covariates and piecewise effects in the risk measure allows a better description of the impact of hedge fund's characteristics on their out-of-sample prediction to failure.

Authors who are presenting talks have a * after their name.

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