A0382
Title: Drivers of hedge fund failures
Authors: Huda Aldhahi - University of East Anglia (United Kingdom) [presenting]
Abstract: Various survival methods are implemented to investigate the hedge funds' survival and precisely address the determinants of hedge fund failure using the HFR database from 1994 to 2020. The primary analysis uses the non-parametric survival analysis, the Semi-parametric Cox, and Weibull accelerated failure time (AFT). Also, we investigate the elements that influence hedge funds' survival using a wide range of variables, including funds' age, size, performance, management fee, incentive fee, volatility, leverage, and cancellation policy periods. The main conclusion of our findings can be summarized as follows: hedge fund age, size, and performance are the primary determinants that support hedge fund survival. In contrast, volatility and leverage negatively influence hedge fund survival. Finally, Management fee, lockup period, advance notice period, and incentive fee variables have mixed results depending on measures, style, and the evaluation period. Our findings maintained their empirical significance and were consistent in pre- and post-financial crisis periods. Our findings will allow new hedge fund managers and investors to evaluate the predicted hedge fund's lifetime, thus diversifying their portfolios by selecting an ideal hedge fund classification based on its highest survival time and alerting existing hedge fund managers and investors to any possible fund liquidation.
