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Predicting Hedge Fund Failure: A Comparison of Risk Measures
16 references·16 citing·37 second hopsampled
Predicting Hedge Fund Failure: A Comparison of Risk Measures (2008)Predicting Hedge Fund Failure: A Comparis…Hedge Funds: Performance, Risk, and Capital Formation (2008)Hedge Funds: Performance, Ris…An econometric model of serial correlation and illiquidity in hedge fund returns (2004)An econometric model of seria…Risks and Portfolio Decisions Involving Hedge Funds (2003)Risks and Portfolio Decisions…High‐Water Marks and Hedge Fund Management Contracts (2003)High‐Water Marks and Hedge Fu…Characteristics of Risk and Return in Risk Arbitrage (2001)Characteristics of Risk and R…Value At Risk: The New Benchmark for Managing Financial Risk (2000)Value At Risk: The New Benchm…Performance Characteristics of Hedge Funds and Commodity Funds: Natural vs. Spurious Biases (2000)Performance Characteristics o…Hedge Funds: The Living and the Dead (2000)Hedge Funds: The Living and t…The Performance of Hedge Funds: Risk, Return, and Incentives (1999)The Performance of Hedge Fund…On the Performance of Hedge Funds (1999)On the Performance of Hedge F…Offshore Hedge Funds: Survival and Performance, 1989–95 (1999)Offshore Hedge Funds: Surviva…Coherent Measures of Risk (1999)Coherent Measures of RiskOffshore Hedge Funds: Survival and Performance 1989-1995 (1997)Offshore Hedge Funds: Surviva…Empirical Characteristics of Dynamic Trading Strategies: The Case of Hedge Funds (1997)Empirical Characteristics of …Survivorship Bias in Performance Studies (1992)Survivorship Bias in Performa…Downside risk (1991)Downside riskHedge Fund Flows and Performance Streaks:How Investors Weigh Information (2022)Hedge Fund Flows and Performa…Hedge Fund Performance: End of an Era? (2021)Hedge Fund Performance: End o…Do Alpha Males Deliver Alpha? Facial Width-to-Height Ratio and Hedge Funds (2021)Do Alpha Males Deliver Alpha?…A Cross-Sectional Machine Learning Approach for Hedge Fund Return Prediction and Selection (2020)A Cross-Sectional Machine Lea…Media sentiment, institutional investors and probability of stock price crash: evidence from Chinese stock markets (2017)Media sentiment, institutiona…Empirical comparison of hazard models in predicting SMEs failure (2017)Empirical comparison of hazar…The Economics and Finance of Hedge Funds: A Review of the Academic Literature (2015)The Economics and Finance of …Share Restrictions and Investor Flows in the Hedge Fund Industry (2015)Share Restrictions and Invest…Hedge Funds: A Dynamic Industry in Transition (2015)Hedge Funds: A Dynamic Indust…Hedge funds and discretionary liquidity restrictions (2015)Hedge funds and discretionary…Change You Can Believe In? Hedge Fund Data Revisions (2015)Change You Can Believe In? 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New Evidence from a Bootstrap Analysis (2006)Mutual Fund Performance: An Analysis of Quarterly Portfolio Holdings (1989)Returns from Investing in Equity Mutual Funds 1971 to 1991 (1995)Role of Managerial Incentives and Discretion in Hedge Fund Performance (2009)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Pricing of Options and Corporate Liabilities (1973)Common risk factors in the returns on stocks and bonds (1993)Hedge Fund Benchmarks: A Risk-Based Approach (2004)CONTINUOUS INSPECTION SCHEMES (1954)Costly Search and Mutual Fund Flows (1998)Mutual Fund Flows and Performance in Rational Markets (2004)The Gambler's and Hot-Hand Fallacies: Theory and Applications (2009)Misvaluing Innovation (2013)Scale and skill in active management (2014)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Moral Hazard and Observability (1979)Hedge Funds and the Technology Bubble (2004)Just How Much Do Individual Investors Lose by Trading? (2008)The Performance of Mutual Funds in the Period 1945-1964 (1968)The Risk in Hedge Fund Strategies: Theory and Evidence from Trend Followers (2001)Portfolio Performance Manipulation and Manipulation-proof Performance MeasuresThe Limits of Arbitrage (1995)Do hedge funds deliver alpha? A Bayesian and bootstrap analysis☆ (2007)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)A Survey of Systemic Risk Analytics (2012)Backtesting Value-at-Risk: A Duration-Based Approach (2004)Is gold a safe haven or a hedge for the US dollar? Implications for risk management (2013)Machine Learning in Banking Risk Management: A Literature Review (2019)Conditional value-at-risk for general loss distributions (2002)Modeling and Forecasting Realized Volatility (2003)Theory and Applications of Robust Optimization (2010)
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References

  • 1999Coherent Measures of Risk8,849 cited
  • 2000Value At Risk: The New Benchmark for Managing Financial Risk2,478 cited
  • 1997Empirical Characteristics of Dynamic Trading Strategies: The Case of Hedge Funds1,262 cited
  • 2003Risks and Portfolio Decisions Involving Hedge Funds1,213 cited
  • 1992Survivorship Bias in Performance Studies1,118 cited
  • 1999The Performance of Hedge Funds: Risk, Return, and Incentives1,101 cited
  • 2004An econometric model of serial correlation and illiquidity in hedge fund returns1,000 cited
  • 2000Performance Characteristics of Hedge Funds and Commodity Funds: Natural vs. Spurious Biases796 cited
  • 2001Characteristics of Risk and Return in Risk Arbitrage765 cited
  • 2008Hedge Funds: Performance, Risk, and Capital Formation660 cited
  • 2000Hedge Funds: The Living and the Dead621 cited
  • 1991Downside risk604 cited
  • 1997Offshore Hedge Funds: Survival and Performance 1989-1995597 cited
  • 2003High‐Water Marks and Hedge Fund Management Contracts595 cited
  • 1999On the Performance of Hedge Funds547 cited
  • 1999Offshore Hedge Funds: Survival and Performance, 1989–95

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510 cited

Cited by

  • 2020A Cross-Sectional Machine Learning Approach for Hedge Fund Return Prediction and Selection104 cited
  • 2007Hedge Fund Due Diligence: A Source of Alpha in a Hedge Fund Portfolio Strategy90 cited
  • 2015Share Restrictions and Investor Flows in the Hedge Fund Industry82 cited
  • 2017Empirical comparison of hazard models in predicting SMEs failure75 cited
  • 2015Change You Can Believe In? Hedge Fund Data Revisions74 cited
  • 2017Media sentiment, institutional investors and probability of stock price crash: evidence from Chinese stock markets73 cited
  • 2015Hedge funds and discretionary liquidity restrictions64 cited
  • 2015Hedge Funds: A Dynamic Industry in Transition64 cited
  • 2015The Economics and Finance of Hedge Funds: A Review of the Academic Literature52 cited
  • 2014Tail Risk in Hedge Funds: A Unique View from Portfolio Holdings44 cited
  • 2009The Risk of Emerging Hedge Fund Managers43 cited
  • 2022Hedge Fund Flows and Performance Streaks:How Investors Weigh Information41 cited
  • 2021Hedge Fund Performance: End of an Era?40 cited
  • 2014Recovering Delisting Returns of Hedge Funds40 cited
  • 2013Zero-R2Hedge Funds and Market Neutrality38 cited
  • 2021Do Alpha Males Deliver Alpha? Facial Width-to-Height Ratio and Hedge Funds36 cited