Financial Management (Wiley-Blackwell). Winter2016, Vol. 45 Issue 4, p845-876. 32p.

破产风险与横截面的对冲基金回报

作者：Jung-Min Kim (Ohio State University (OSU) - Fisher College of Business )

摘要：通过使用动态Logit回归构建关于对冲基金破产概率的模型，作者发现基金破产的概率对基金未来回报有显著负面的影响。在1997年到2012年间，破产概率最高的五分之一投资组合表现比破产概率最低的投资组合表现每年要差5%至6%。在对对冲基金破产的不同定义上以及控制大量风险因子和基金特征上，研究结果都显示出了足够的稳健性。而且，对于那些有较弱股权限制的基金而言，破产概率对基金未来回报的负面影响更为显著。

Failure Risk and the Cross-Section of Hedge Fund Returns.

Jung-Min Kim （Ohio State University (OSU) - Fisher College of Business ）

ABSTRACT：

Modeling a hedge fund's probability of failure with a dynamic logit regression, I find that the probability of a fund's failure has a significantly negative effect on the fund's future returns. A quintile portfolio with the highest failure probability underperforms a quintile portfolio with the lowest failure probability by 5% to 6% per year from 1997 to 2012. The results are robust to the definition of hedge fund failure and controlling for a large set of risk factors and fund characteristics. Moreover, the negative effect of failure probability on future fund returns is stronger for funds with weak share restrictions.

原文链接：

http://www.fma.org/Reno/Papers/FailureRiskofHF_FMA2009.pdf

翻译：孙雨琦