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Revista Finanzas y Política Económica
versão impressa ISSN 2248-6046
Resumo
GARAY, Urbi; HERNANDEZ, Manuel e RIVILLO, Carlos. Microeconomic variables of funds of hedge funds (FHF) and their performance during the global financial crisis of 2008-2009. Finanz. polit. econ. [online]. 2017, vol.9, n.2, pp.373-396. ISSN 2248-6046. https://doi.org/10.14718/revfinanzpolitecon.2017.9.2.8.
This paper examines the behavior of the microeconomic variables of funds of hedge funds (FHF) during a period prior to the global financial crisis of 2008-2009, and analyzes whether these variables explain the performance of FHF during such crisis. Given its magnitude and severity, this crisis constitutes an ideal event to determine the characteristics of FHF that managed to survive it. Using a Probit regression model, it was concluded that the following variables explain the survival probability of FHF: previous average yield, standard deviation of yields, fixed commission, incentive commission, and yield kurtosis.
Palavras-chave : funds of hedge funds; financial crisis of 2008-2009; Probit.