IDEAS home Printed from https://ideas.repec.org/a/col/000443/016483.html
   My bibliography  Save this article

Variables microeconómicas de los fondos de fondos de cobertura (FFC) y su desempeno durante la crisis financiera global 2008-2009

Author

Listed:
  • Urbi Garay
  • Manuel Hernández
  • Carlos Rivillo

Abstract

Este trabajo examina el comportamiento de las variables microeconómicas de los fondos de fondos de cobertura (FFC) durante un periodo previo a la crisis financiera global 2008-2009, y analiza si dichas variables explican el desempeno de los FFC durante tal crisis. La magnitud y la severidad de la crisis representan un evento ideal para determinar las características de los FFC que lograron sobrevivirla. Mediante la aplicación de un modelo de regresión Probit, se concluyó que las siguientes variables explican la probabilidad de sobrevivencia de los FFC: rendimiento promedio previo, desviación estándar de los rendimientos, comisión fija, comisión por incentivo y curtosis de los rendimientos.

Suggested Citation

  • Urbi Garay & Manuel Hernández & Carlos Rivillo, 2017. "Variables microeconómicas de los fondos de fondos de cobertura (FFC) y su desempeno durante la crisis financiera global 2008-2009," Revista Finanzas y Politica Economica, Universidad Católica de Colombia, vol. 9(2), pages 373-396, November.
    • Handle: RePEc:col:000443:016483
    as

    Download full text from publisher

    File URL: http://editorial.ucatolica.edu.co/ojsucatolica/revistas_ucatolica/index.php/RFYPE/article/view/1846
    Download Restriction: no
    ---><---

    Other versions of this item:

    References listed on IDEAS

    as
    1. Fama, Eugene F & French, Kenneth R, 1992. "The Cross-Section of Expected Stock Returns," Journal of Finance, American Finance Association, vol. 47(2), pages 427-465, June.
    2. Nicolas P.B. Bollen & Veronika K. Pool, 2009. "Do Hedge Fund Managers Misreport Returns? Evidence from the Pooled Distribution," Journal of Finance, American Finance Association, vol. 64(5), pages 2257-2288, October.
    3. Nicolas P.B. Bollen & Robert E. Whaley, 2009. "Hedge Fund Risk Dynamics: Implications for Performance Appraisal," Journal of Finance, American Finance Association, vol. 64(2), pages 985-1035, April.
    4. Loriana Pelizzon & Monica Billio & Mila Getmansky, 2008. "Crisis and Hedge Fund Risk," Working Papers 2008_10, Department of Economics, University of Venice "Ca' Foscari".
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Funga, William & Hsiehb, David A., 2013. "Hedge Funds," Handbook of the Economics of Finance, in: G.M. Constantinides & M. Harris & R. M. Stulz (ed.), Handbook of the Economics of Finance, volume 2, chapter 0, pages 1063-1125, Elsevier.
    2. Andrew J. Patton & Tarun Ramadorai, 2013. "On the High-Frequency Dynamics of Hedge Fund Risk Exposures," Journal of Finance, American Finance Association, vol. 68(2), pages 597-635, April.
    3. Arjen Siegmann & Denitsa Stefanova, 2011. "Market Liquidity and Exposure of Hedge Funds," Tinbergen Institute Discussion Papers 11-150/2/DSF27, Tinbergen Institute.
    4. Nicolas Bollen, 2011. "The financial crisis and hedge fund returns," Review of Derivatives Research, Springer, vol. 14(2), pages 117-135, July.
    5. Yang, Fan & Havranek, Tomas & Irsova, Zuzana & Novak, Jiri, 2022. "Hedge Fund Performance: A Quantitative Survey," EconStor Preprints 260612, ZBW - Leibniz Information Centre for Economics.
    6. Antonio Di Cesare & Philip A. Stork & Casper G. de Vries, 2015. "Risk Measures for Autocorrelated Hedge Fund Returns," Journal of Financial Econometrics, Oxford University Press, vol. 13(4), pages 868-895.
    7. Bussière, Matthieu & Hoerova, Marie & Klaus, Benjamin, 2015. "Commonality in hedge fund returns: Driving factors and implications," Journal of Banking & Finance, Elsevier, vol. 54(C), pages 266-280.
    8. Priyank Gandhi & Benjamin Golez & Jens Carsten Jackwerth & Alberto Plazzi, 2019. "Financial Market Misconduct and Public Enforcement: The Case of Libor Manipulation," Management Science, INFORMS, vol. 65(11), pages 5268-5289, November.
    9. Szabolcs Blazsek & Anna Downarowicz, 2013. "Forecasting hedge fund volatility: a Markov regime-switching approach," The European Journal of Finance, Taylor & Francis Journals, vol. 19(4), pages 243-275, April.
    10. Stafylas, Dimitrios & Anderson, Keith & Uddin, Moshfique, 2018. "Hedge fund performance attribution under various market conditions," International Review of Financial Analysis, Elsevier, vol. 56(C), pages 221-237.
    11. Arpit Gupta & Kunal Sachdeva, 2019. "Skin or Skim? Inside Investment and Hedge Fund Performance," NBER Working Papers 26113, National Bureau of Economic Research, Inc.
    12. Ergys Islamaj & Maziar Kazemi, 2014. "Returns to Active Management: The Case of Hedge Funds," International Finance Discussion Papers 1112, Board of Governors of the Federal Reserve System (U.S.).
    13. Newton, David & Platanakis, Emmanouil & Stafylas, Dimitrios & Sutcliffe, Charles & Ye, Xiaoxia, 2021. "Hedge fund strategies, performance &diversification: A portfolio theory & stochastic discount factor approach," The British Accounting Review, Elsevier, vol. 53(5).
    14. Bollen, Nicolas P. B., 2013. "Zero-R2Hedge Funds and Market Neutrality," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 48(2), pages 519-547, April.
    15. Ang, Andrew & Gorovyy, Sergiy & van Inwegen, Gregory B., 2011. "Hedge fund leverage," Journal of Financial Economics, Elsevier, vol. 102(1), pages 102-126, October.
    16. Mathias S. Kruttli & Andrew J. Patton & Tarun Ramadorai, 2015. "The Impact of Hedge Funds on Asset Markets," The Review of Asset Pricing Studies, Society for Financial Studies, vol. 5(2), pages 185-226.
    17. Slavutskaya, Anna, 2013. "Short-term hedge fund performance," Journal of Banking & Finance, Elsevier, vol. 37(11), pages 4404-4431.
    18. Huang, Huichou & MacDonald, Ronald & Zhao, Yang, 2012. "Global Currency Misalignments, Crash Sensitivity, and Downside Insurance Costs," MPRA Paper 53745, University Library of Munich, Germany, revised 18 Nov 2013.
    19. Ferson, Wayne E., 2013. "Investment Performance: A Review and Synthesis," Handbook of the Economics of Finance, in: G.M. Constantinides & M. Harris & R. M. Stulz (ed.), Handbook of the Economics of Finance, volume 2, chapter 0, pages 969-1010, Elsevier.
    20. Monica Billio & Mila Getmansky & Andrew W. Lo & Loriana Pelizzon, 2010. "Econometric Measures of Systemic Risk in the Finance and Insurance Sectors," NBER Working Papers 16223, National Bureau of Economic Research, Inc.

    More about this item

    Keywords

    fondos de fondos de cobertura; crisis financiera 2008-2009; Probit.;
    All these keywords.

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • G24 - Financial Economics - - Financial Institutions and Services - - - Investment Banking; Venture Capital; Brokerage

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:col:000443:016483. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Universidad Católica de Colombia (email available below). General contact details of provider: https://edirc.repec.org/data/feuccco.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.