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- W3133648999 abstract "The aim of this study is to identify the effect that the recent Global Financial Crisis (GFC) has had on the financial distress in hedge funds, and the effect on the reliability of accepted models in Lee (2010) to predict financial distress across a time horizon that includes GFC. A mixed Cox proportional hazard (CPH) model used in Lee (2010) is used to identify the covariates that lose and gain importance in the prediction of failure for hedge funds because of the GFC. Based on model estimations over the period that includes the GFC and the period prior to the onset of the crisis, we can identify the factors that generated financial distress of hedge funds during the GFC. Additionally, to evaluate model robustness, we compare the predictive ability of the models for each period. An improvement in forecasting skill in the GFC-inclusive period highlights a benefit of the mixed CPH model." @default.
- W3133648999 created "2021-03-15" @default.
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- W3133648999 date "2014-01-01" @default.
- W3133648999 modified "2023-09-28" @default.
- W3133648999 title "The Effect of the GFC on Modelling and Predicting Financial Distress in Hedge Funds" @default.
- W3133648999 hasPublicationYear "2014" @default.
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