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HEDGE FUND SURVIVAL: NON‐NORMAL RETURNS, CAPITAL OUTFLOWS, AND LIQUIDITY
Author(s) -
Baba Naohiko,
Goko Hiromichi
Publication year - 2009
Publication title -
journal of financial research
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.319
H-Index - 49
eISSN - 1475-6803
pISSN - 0270-2592
DOI - 10.1111/j.1475-6803.2008.01243.x
Subject(s) - hedge fund , skewness , market liquidity , economics , logit , capital (architecture) , business , econometrics , monetary economics , financial economics , finance , archaeology , history
We analyze the factors that influence the survival probability of hedge funds reported in the Lipper TASS database. Particular emphasis is placed on (1) non‐normality of returns and assets under management (AUM), (2) short‐term capital outflows, and (3) liquidity constraints associated with a hedge fund's cancellation policy. Estimation results using the Cox proportional hazards model and the panel logit model show that (1) funds with lower skewness in returns and AUM, (2) funds experiencing instantaneous rapid capital outflows, and (3) funds with a shorter redemption notice period and a higher redemption frequency have significantly higher liquidation probabilities, among others.