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.
| Original language | English |
|---|---|
| Pages (from-to) | 271-309 |
| Journal | European Financial Management |
| Volume | 25 |
| Issue number | 2 |
| DOIs | |
| Publication status | Published - 8 Feb 2018 |
Bibliographical note
This is the peer reviewed version of the following article: Adrien Becam, Andros Gregoriou and Jairaj Gupta, Does size matter in predicting hedge funds' liquidation? European Financial Management, 2018, which has been published in final form at http://onlinelibrary.wiley.com/doi/10.1111/eufm.12159/abstract. This article may be used for non-commercial purposes in accordance with Wiley Terms and Conditions for Self-Archiving.Keywords
- hedge fund
- liquidation
- fund size
- failure
- default