Market conditions and hedge fund survival

Preprint OPEN
Mark A. Carlson; Jason Steinman;
(2008)
  • Subject: Hedge funds

As the hedge fund industry has grown, there has been increased concern that, during sharp market moves, hedge fund failures could exacerbate the deterioration in financial conditions and deepen a crisis. However, there has not been much formal analysis regarding the imp... View more
  • References (13)
    13 references, page 1 of 2

    Agarwal, V., and N. Naik (2004): “Risks and Portfolio Decisions Involving Hedge Funds,” The Review of Financial Studies, 17(1), 63-98, Spring.

    Allison, P. (1995): Survival Analysis Using the SAS System. Cary, NC: SAS Institute Inc.

    Baba, N., and H. Goko (2006): “Survival Analysis of Hedge Funds,” Bank of Japan Working Paper Series, No. 06-E-05.

    Baquero, G., J. ter Horst, and M. Verbeek (2005): “Survival, Look-Ahead Bias, and Persistence in Hedge Fund Performance,” Journal of Financial and Quantitative Analysis, 40(3), 493- 517.

    Bernanke, B. (2007): “Financial Regulation and the Invisible Hand,” Remarks at the New York University Law School, April 11.

    Bertrand, M., E. Duflo, and S. Mullainathan (2004): “How Much Should We Trust Differences-inDifferences Estimates,” Quarterly Journal of Economics, 119, 249-275.

    Cameron, A., and P. Trivedi (1998): Regression Analysis of Count Data. Cambridge University Press, Cambridge UK.

    Chan, N., M. Getmansky, S. Haas, and A. Lo (2005): “Systemic Risk and Hedge Funds,” NBER Working Paper Series, No. 11200.

    Izzo, P. (2006): “Moving the Market: Economists See Hedge-Fund Risks - Survey Indicates Concerns About a Lack of Oversight, Use of Borrowed Money,” Wall Street Journal, Oct. 13, p.C3.

    Kalbfleisch, J., and R. Prentice (2002): The Statistical Analysis of Failure Time Data.WileyInterscience: Hoboken, NJ, second edn.

  • Metrics
Share - Bookmark