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Putting corona into hedge fund managers' head

Author

Listed:
  • Costas Siriopoulos

    (College of Business, Zayed University)

  • Dionisis Philippas

    (ESSCA School of Management)

Abstract

The paper discusses the sensitivity of hedge funds' risk of failure, attributed to Covid-19 outbreak using a non-linear threshold multivariate analysis. The empirical results indicate that hedge funds shift their attention more towards informative signals depicting the impact of the Covid-19 pandemic and less towards indicators that reflect market sentiment, volatility, and momentum. By understanding the behaviour of active managers and their risk perception in relation with the impact of Covid-19 outbreak, we gain insights into the extent to which certain factors continue to play key role in hedge funds' risk perception during exceptional times such as the post Covid-19 period.

Suggested Citation

  • Costas Siriopoulos & Dionisis Philippas, 2024. "Putting corona into hedge fund managers' head," Economics Bulletin, AccessEcon, vol. 44(1), pages 341-357.
    • Handle: RePEc:ebl:ecbull:eb-21-00313
    as

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    File URL: http://www.accessecon.com/Pubs/EB/2024/Volume44/EB-24-V44-I1-P28.pdf
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    References listed on IDEAS

    as
    1. M. A. Limam & V. Terraza & M. Terraza, 2017. "Hedge Fund Return Dynamics: Long Memory and Regime Switching," International Journal of Financial Research, International Journal of Financial Research, Sciedu Press, vol. 8(4), pages 148-166, October.
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    More about this item

    Keywords

    hedge funds; leverage; risk perception; conditional VaR; Covid-19;
    All these keywords.

    JEL classification:

    • Y1 - Miscellaneous Categories - - Data: Tables and Charts
    • G1 - Financial Economics - - General Financial Markets

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