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Predicting Hedge Fund Failure: A Comparison of Risk Measures

https://doi.org/10.1017/s0022109009990482
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What this work says

Outgoing claims: the papers this work cites, builds on, or argues with.

inferredcites →https://doi.org/10.1002/9781118032985openalex-snapshot
The Statistical Analysis of Failure Time Data
inferredcites →https://doi.org/10.1007/978-1-4612-4380-9_37openalex-snapshot
Regression Models and Life-Tables
inferredcites →https://doi.org/10.1016/0165-1765(80)90024-5openalex-snapshot
Efficient tests for normality, homoscedasticity and serial independence of regression residuals
inferredcites →https://doi.org/10.1016/j.jbankfin.2006.10.005openalex-snapshot
Value at risk and the cross-section of hedge fund returns
inferredcites →https://doi.org/10.1016/j.jfineco.2004.04.001openalex-snapshot
An econometric model of serial correlation and illiquidity in hedge fund returns
inferredcites →https://doi.org/10.1016/j.jfineco.2004.06.005openalex-snapshot
Do hedge funds have enough capital? A value-at-risk approach
inferredcites →https://doi.org/10.1016/s0927-5398(00)00005-0openalex-snapshot
Measuring the market impact of hedge funds
inferredcites →https://doi.org/10.1016/s0927-5398(98)00013-9openalex-snapshot
The hazards of mutual fund underperformance: A Cox regression analysis
inferredcites →https://doi.org/10.1017/s0022109009990159openalex-snapshot
Is There an Intertemporal Relation between Downside Risk and Expected Returns?
inferredcites →https://doi.org/10.1057/palgrave.jam.2240078openalex-snapshot
Hedge fund survival lifetimes
inferredcites →https://doi.org/10.1080/00401706.1982.10487769openalex-snapshot
The Statistical Analysis of Failure Time Data
inferredcites →https://doi.org/10.1080/1351847032000137429openalex-snapshot
The cost of equity of internet stocks: a downside risk approach
inferredcites →https://doi.org/10.1086/209603openalex-snapshot
Offshore Hedge Funds: Survival and Performance, 1989–95
inferredcites →https://doi.org/10.1093/biomet/62.2.269openalex-snapshot
Partial Likelihood
inferredcites →https://doi.org/10.1093/rfs/10.2.275openalex-snapshot
Empirical Characteristics of Dynamic Trading Strategies: The Case of Hedge Funds
inferredcites →https://doi.org/10.1093/rfs/5.4.553openalex-snapshot
Survivorship Bias in Performance Studies
inferredcites →https://doi.org/10.1093/rfs/hhg044openalex-snapshot
Risks and Portfolio Decisions Involving Hedge Funds
inferredcites →https://doi.org/10.1111/0022-1082.00129openalex-snapshot
The Performance of Hedge Funds: Risk, Return, and Incentives
inferredcites →https://doi.org/10.1111/0022-1082.00392openalex-snapshot
Careers and Survival: Competition and Risk in the Hedge Fund and CTA Industry
inferredcites →https://doi.org/10.1111/0022-1082.00401openalex-snapshot
Characteristics of Risk and Return in Risk Arbitrage
inferredcites →https://doi.org/10.1111/1467-9965.00068openalex-snapshot
Coherent Measures of Risk
inferredcites →https://doi.org/10.1111/1468-036x.00125openalex-snapshot
Risk management lessons from Long‐Term Capital Management
inferredcites →https://doi.org/10.1111/1540-6261.00581openalex-snapshot
High‐Water Marks and Hedge Fund Management Contracts
inferredcites →https://doi.org/10.1111/j.1468-036x.2006.00357.xopenalex-snapshot
Risk Measures for Hedge Funds: a Cross‐sectional Approach
inferredcites →https://doi.org/10.1111/j.1540-6261.2008.01374.xopenalex-snapshot
Hedge Funds: Performance, Risk, and Capital Formation
inferredcites →https://doi.org/10.1111/j.2517-6161.1972.tb00899.xopenalex-snapshot
Regression Models and Life-Tables
inferredcites →https://doi.org/10.1142/9789812569448_0002openalex-snapshot
SIFTING THROUGH THE WRECKAGE: LESSONS FROM RECENT HEDGE-FUND LIQUIDATIONS
inferredcites →https://doi.org/10.1142/9789812569448_0005openalex-snapshot
ALTERNATIVE INVESTMENTS: CTAs, HEDGE FUNDS, AND FUNDS-OF-FUNDS
inferredcites →https://doi.org/10.1207/s15427579jpfm0501_1openalex-snapshot
Bleed or Blowup? Why Do We Prefer Asymmetric Payoffs?
inferredcites →https://doi.org/10.1214/aos/1176345976openalex-snapshot
Cox's Regression Model for Counting Processes: A Large Sample Study
inferredcites →https://doi.org/10.1287/mnsc.1040.0201openalex-snapshot
A Comparison of VaR and CVaR Constraints on Portfolio Selection with the Mean-Variance Model
inferredcites →https://doi.org/10.21314/jor.2002.068openalex-snapshot
The Cornish–Fisher expansion in the context of Delta–Gamma-normal approximations
inferredcites →https://doi.org/10.21314/jor.2005.106openalex-snapshot
Value-at-risk in portfolio optimization: properties and computational approach
inferredcites →https://doi.org/10.21314/jor.2005.112openalex-snapshot
Estimation risk in financial risk management
inferredcites →https://doi.org/10.21314/jor.2005.117openalex-snapshot
Bias and consistency of the maximum Sharpe ratio
inferredcites →https://doi.org/10.2139/ssrn.170748openalex-snapshot
The Cost of Equity in Emerging Markets: A Downside Risk Approach
inferredcites →https://doi.org/10.2139/ssrn.249579openalex-snapshot
The Cost of Equity in Emerging Markets: A Downside Risk Approach (Ii)
inferredcites →https://doi.org/10.2139/ssrn.333180openalex-snapshot
Hedge Funds: A Walk Through the Graveyard
inferredcites →https://doi.org/10.2139/ssrn.542182openalex-snapshot
Market Price of Variance Risk and Performance of Hedge Funds
inferredcites →https://doi.org/10.2139/ssrn.587384openalex-snapshot
Optimal Hedge Fund Allocations: Do Higher Moments Matter?
inferredcites →https://doi.org/10.2139/ssrn.630821openalex-snapshot
Equilibrium Underdiversification and the Preference for Skewness
inferredcites →https://doi.org/10.2139/ssrn.671443openalex-snapshot
Systemic Risk and Hedge Funds
inferredcites →https://doi.org/10.2139/ssrn.795385openalex-snapshot
The Drivers of Expected Returns in International Markets
inferredcites →https://doi.org/10.2139/ssrn.840505openalex-snapshot
Competing Risks for Hedge Fund Survival
inferredcites →https://doi.org/10.2307/1400905openalex-snapshot
Moments and Cumulants in the Specification of Distributions
inferredcites →https://doi.org/10.2307/2291547openalex-snapshot
Continuous Univariate Distributions.
inferredcites →https://doi.org/10.2307/2530581openalex-snapshot
The Statistical Analysis of Failure Time Data.
inferredcites →https://doi.org/10.2307/2676205openalex-snapshot
Performance Characteristics of Hedge Funds and Commodity Funds: Natural vs. Spurious Biases
inferredcites →https://doi.org/10.2307/2676206openalex-snapshot
Hedge Funds: The Living and the Dead
inferredcites →https://doi.org/10.2469/dig.v30.n1.642openalex-snapshot
On the Performance of Hedge Funds
inferredcites →https://doi.org/10.2469/dig.v38.n1.45openalex-snapshot
Measuring Risk in the Hedge Fund Sector
inferredcites →https://doi.org/10.2469/faj.v55.n4.2287openalex-snapshot
On the Performance of Hedge Funds
inferredcites →https://doi.org/10.2469/faj.v57.n6.2490openalex-snapshot
Risk Management for Hedge Funds: Introduction and Overview
inferredcites →https://doi.org/10.2469/faj.v61.n1.2687openalex-snapshot
Financial Dynamics: A System for Valuing Technology Companies (a review)
inferredcites →https://doi.org/10.2469/faj.v61.n6.2775openalex-snapshot
Hedge Funds: Risk and Return
inferredcites →https://doi.org/10.3386/w11200openalex-snapshot
Systemic Risk and Hedge Funds
inferredcites →https://doi.org/10.3386/w5909openalex-snapshot
Offshore Hedge Funds: Survival and Performance 1989-1995
inferredcites →https://doi.org/10.3386/w9116openalex-snapshot
Sharpening Sharpe Ratios
inferredcites →https://doi.org/10.3905/jai.2005.491501openalex-snapshot
The Impact of Higher Moments on Hedge Fund Risk Exposure
inferredcites →https://doi.org/10.3905/jpm.1991.409343openalex-snapshot
Downside risk
inferredcites →https://doi.org/10.3905/jpm.2005.500356openalex-snapshot
Optimal Hedge Fund Allocations

What points at this work

Incoming claims: where this work appears in other papers’ reference lists and arguments.

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Dynamic Prediction of Financial Distress in Hedge Funds and Funds-of-Hedge Funds
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Forecasting Hedge Funds Volatility: A Markov Regime-Switching Approach
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Zero-R2 Hedge Funds and Market Neutrality
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Do Hedge Funds Have Information Advantages? Evidence from Hedge Fund Stock Holdings
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Hedge Fund Biases after the Financial Crisis
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Commonality in Hedge Fund Returns: Driving Factors and Implications
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Why Do Hedge Fund Managers Outperform?
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Survival of Commodity Trading Advisors: Systematic vs. Discretionary CTAs
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Performance, Risk and Persistence of the CTA Industry: Systematic vs. Discretionary CTAs
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The Role of Remuneration Structures in Hedge Fund Performance
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Outside Ownership in the Hedge Fund Industry
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Financial Distress and Downside Risk
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Impact of Fund Size on Hedge Funds Liquidation
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Hedge Fund Flows and Name Gravitas
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Hedge Fund Performance Prediction
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Career Risk and Market Discipline in Asset Management
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Do Alpha Males Deliver Alpha? Facial Width-to-Height Ratio and Hedge Funds
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A Cross-Sectional Machine Learning Approach for Hedge Fund Return Prediction and Fund Selection
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Career Risk and Market Discipline in Asset Management
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Networks for Alpha: Prime Broker Connections and Hedge Fund Manager Selection
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The Performance of Hedge Fund Performance Fees
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Replicas: Have Hedge Funds Re-Resurrected as Traditional Beta?
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Hedge Fund Liquidity Management: Insights for Fund Performance and Financial Stability
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Evaluating Hedge Funds with Machine Learning-Based Benchmarks
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Financial Distress Jumps and Corporate Failure
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The Flipside of Financial Innovation: Why Contracts Fail*
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Do Hedge Funds Hedge? Evidence from Risk Gap
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Building an integrated surveillance framework for highly leveraged NBFIs – lessons from the HKMA
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Building an Integrated Surveillance Framework for Highly Leveraged Nbfis – Lessons from the Hkma
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Failure Risk and the Cross-Section of Hedge Fund Returns
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Nature of VIX Jumps on Market Timing of Hedge Funds
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Change You Can Believe In? Hedge Fund Data Revisions
inferred← citeshttps://doi.org/10.2139/ssrn.2188188openalex-snapshot
Evaluating Hedge Funds with Pooled Benchmarks
inferred← citeshttps://doi.org/10.2139/ssrn.2448486openalex-snapshot
Assessing Hedge Fund Performance When Fund Returns Are Skewed
inferred← citeshttps://doi.org/10.2139/ssrn.2517799openalex-snapshot
Tail Risk in Hedge Funds: A Unique View from Portfolio Holdings
inferred← citeshttps://doi.org/10.2139/ssrn.2637007openalex-snapshot
Hedge Funds: A Dynamic Industry in Transition
inferred← citeshttps://doi.org/10.2139/ssrn.2692598openalex-snapshot
Share Restrictions and Investor Flows in the Hedge Fund Industry
inferred← citeshttps://doi.org/10.2139/ssrn.2826647openalex-snapshot
Volatility Derivatives and Downside Risk
inferred← citeshttps://doi.org/10.2139/ssrn.4873879openalex-snapshot
Tail Risk Measures and Bank Failures: A Novel Approach to Monitor Financial Instability
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Determinantes de la estructura de largo plazo del mercado de Afores en México: un análisis de supervivencia
inferred← citeshttps://doi.org/10.25560/12647openalex-snapshot
The Performance Persistence, Flow and Survival of Systematic and Discretionary Commodity Trading Advisors (CTAs)
inferred← citeshttps://doi.org/10.3386/w21449openalex-snapshot
Hedge Funds: A Dynamic Industry In Transition
inferred← citeshttps://doi.org/10.3390/jrfm14020051openalex-snapshot
Transformational Approach to Analytical Value-at-Risk for near Normal Distributions
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Hedge fund performance
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Diversification Strategies and the Performanceof Funds of Hedge Funds
inferred← citeshttps://doi.org/10.3905/jai.2013.16.3.037openalex-snapshot
The Delisting Bias in Hedge Fund Databases
inferred← citeshttps://doi.org/10.3905/jai.2013.2013.1.030openalex-snapshot
The Delisting Bias in Hedge Fund Databases
inferred← citeshttps://doi.org/10.3905/jai.2016.19.1.055openalex-snapshot
A Tail of Two Cities: On the Downside Risk and LossProfile of Asian and North American Hedge Funds
inferred← citeshttps://doi.org/10.3905/jai.2020.1.102openalex-snapshot
Manager Characteristics and Hedge Fund Returns, Liquidity, and Survival
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The Risk of Emerging Hedge Fund Managers
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A Style-Based Market Risk Model for Hedge Fund Portfolios
inferred← citeshttps://doi.org/10.70675/76ee7bd0z5fc1z431eza1f1z1b7634a4c0ccopenalex-snapshot
Liquidity Risk in the Universe of Open-End Funds
inferred← citeshttps://doi.org/10.7275/2387776openalex-snapshot
Three Essays on Hedge Fund Fee Structure, Return Smoothing and Gross Performance
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