Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/153546
Authors: 
Klaus, Benjamin
Rzepkowski, Bronka
Year of Publication: 
2009
Series/Report no.: 
ECB Working Paper 1112
Abstract: 
This paper aims at analysing the mortality patterns of hedge funds over the period January 1994 to May 2008. In particular, we investigate the extent to which a spillover of risk among hedge funds through redemptions and failures of other funds has affected the probability of fund failure. We find that risk spill-over is significantly related to the failure probability of hedge funds, with the relation being more pronounced for redemptions than for failures of other funds. Hedge funds within the same investment style are adversely affected through both channels of risk spillover. In addition, we find that funds being diversified in assets and geographically have a significantly lower failure probability and are not affected by risk spillover via redemptions.
Subjects: 
diversification
Hedge Funds
Risk Spillover
Survival Analysis
JEL: 
G11
G20
G23
G33
Document Type: 
Working Paper

Files in This Item:
File
Size
851.01 kB





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.