An Investigation of the Factors Affecting the Survival of Hedge Funds

• Main Authors: Yi-Ju Lee, 李憶汝
• Other Authors: Ying-Lin Hsu
• Format: Others
• Language: zh-TW
• Published: 2013
• Online Access: http://ndltd.ncl.edu.tw/handle/4t2t3h

碩士 === 國立中興大學 === 統計學研究所 === 101 === The aim of this study is doing the survival analysis by using the data from the Hedge Fund Research database. The samples are selected during July 1998 to June 2012. The data in this study is separated into two parts, which are before and within the financial crisis. By observing the main affected variables from both the periods in the above, the method of stepwise superior predict ability test (SSPA) raised by Hsu et al. is used to choose the hedge fund which have outperformance. SSPA is also used as the variable in survival analysis, investigating its influence on hedge funds.