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Hedge funds and Survival analysis.

Nhogue Wabo, Blanche Nadege.

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Hedge funds and Survival analysis.

Record Type:	Language materials, printed : Monograph/item
Title/Author:	Hedge funds and Survival analysis./
Author:	Nhogue Wabo, Blanche Nadege.
Description:	105 p.
Notes:	Source: Masters Abstracts International, Volume: 52-05.
Contained By:	Masters Abstracts International52-05(E).
Subject:	Statistics. -
Online resource:	http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=MS25292
ISBN:	9780499252920

Hedge funds and Survival analysis.
Nhogue Wabo, Blanche Nadege.

Hedge funds and Survival analysis. - 105 p.

Source: Masters Abstracts International, Volume: 52-05.

Thesis (M.Sc.)--University of Ottawa (Canada), 2013.

Using data from Hedge Fund Research, Inc. (HFR), this study adapts and expands on existing methods in survival analysis in an attempt to investigate whether hedge funds mortality can be predicted on the basis of certain hedge funds characteristics. The main idea is to determine the characteristics which contribute the most to the survival and failure probabilities of hedge funds and interpret them. We establish hazard models with time-independent covariates, as well as time-varying covariates to interpret the selected hedge funds characteristics. Our results show that size, age, performance, strategy, annual audit, fund offshore and fund denomination are the characteristics that best explain hedge fund failure. We find that 1% increase in performance decreases the hazard by 3.3%, the small size and the less than 5 years old hedge funds are the most likely to die and the event-driven strategy is the best to use as compare to others. The risk of death is 0.668 times lower for funds who indicated that an annual audit is performed as compared to the funds who did not indicated that an annual audit is performed. The risk of death for the offshore hedge funds is 1.059 times higher than the non-offshore hedge funds.

ISBN: 9780499252920Subjects--Topical Terms:

517247
Statistics.

Hedge funds and Survival analysis.
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020 $a 9780499252920
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100 1 $a Nhogue Wabo, Blanche Nadege. $3 2103905
245 1 0 $a Hedge funds and Survival analysis.
300 $a 105 p.
500 $a Source: Masters Abstracts International, Volume: 52-05.
502 $a Thesis (M.Sc.)--University of Ottawa (Canada), 2013.
520 $a Using data from Hedge Fund Research, Inc. (HFR), this study adapts and expands on existing methods in survival analysis in an attempt to investigate whether hedge funds mortality can be predicted on the basis of certain hedge funds characteristics. The main idea is to determine the characteristics which contribute the most to the survival and failure probabilities of hedge funds and interpret them. We establish hazard models with time-independent covariates, as well as time-varying covariates to interpret the selected hedge funds characteristics. Our results show that size, age, performance, strategy, annual audit, fund offshore and fund denomination are the characteristics that best explain hedge fund failure. We find that 1% increase in performance decreases the hazard by 3.3%, the small size and the less than 5 years old hedge funds are the most likely to die and the event-driven strategy is the best to use as compare to others. The risk of death is 0.668 times lower for funds who indicated that an annual audit is performed as compared to the funds who did not indicated that an annual audit is performed. The risk of death for the offshore hedge funds is 1.059 times higher than the non-offshore hedge funds.
590 $a School code: 0918.
650 4 $a Statistics. $3 517247
650 4 $a Economics, Finance. $3 626650
650 4 $a Business Administration, Banking. $3 1018458
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710 2 $a University of Ottawa (Canada). $b Mathematiques et statistique / Mathematics and Statistics. $3 2101115
773 0 $t Masters Abstracts International $g 52-05(E).
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791 $a M.Sc.
792 $a 2013
793 $a English
856 4 0 $u http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=MS25292