Variables microeconómicas de los fondos de fondos de cobertura (FFC) y su desempeño durante la crisis financiera global 2008-2009.
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 desempeño de los FFC durante tal crisis. La magnitud y la severidad de la cr...
- Autores:
-
Garay, Urbi
Hernández, Manuel
Rivillo, Carlos
- Tipo de recurso:
- Article of investigation
- Fecha de publicación:
- 2017
- Institución:
- Universidad Católica de Colombia
- Repositorio:
- RIUCaC - Repositorio U. Católica
- Idioma:
- spa
- OAI Identifier:
- oai:repository.ucatolica.edu.co:10983/29389
- Acceso en línea:
- https://hdl.handle.net/10983/29389
https://doi.org/10.14718/revfinanzpolitecon.2017.9.2.8
- Palabra clave:
- Funds of hedge funds
Financial crisis of 2008-2009
Probit
Fondos de fondos de cobertura
Crisis financiera 2008- 2009
Probit.
Crise financeira 2008-2009
Fundos de fundos multimercados (hedge funds)
Probit
- Rights
- openAccess
- License
- Urbi Garay, Manuel Hernández, Carlos Rivillo - 2017
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| dc.title.spa.fl_str_mv |
Variables microeconómicas de los fondos de fondos de cobertura (FFC) y su desempeño durante la crisis financiera global 2008-2009. |
| dc.title.translated.eng.fl_str_mv |
Microeconomic variables of funds of hedge funds (FHF) and their performance during the global financial crisis of 2008-2009. |
| title |
Variables microeconómicas de los fondos de fondos de cobertura (FFC) y su desempeño durante la crisis financiera global 2008-2009. |
| spellingShingle |
Variables microeconómicas de los fondos de fondos de cobertura (FFC) y su desempeño durante la crisis financiera global 2008-2009. Funds of hedge funds Financial crisis of 2008-2009 Probit Fondos de fondos de cobertura Crisis financiera 2008- 2009 Probit. Crise financeira 2008-2009 Fundos de fundos multimercados (hedge funds) Probit |
| title_short |
Variables microeconómicas de los fondos de fondos de cobertura (FFC) y su desempeño durante la crisis financiera global 2008-2009. |
| title_full |
Variables microeconómicas de los fondos de fondos de cobertura (FFC) y su desempeño durante la crisis financiera global 2008-2009. |
| title_fullStr |
Variables microeconómicas de los fondos de fondos de cobertura (FFC) y su desempeño durante la crisis financiera global 2008-2009. |
| title_full_unstemmed |
Variables microeconómicas de los fondos de fondos de cobertura (FFC) y su desempeño durante la crisis financiera global 2008-2009. |
| title_sort |
Variables microeconómicas de los fondos de fondos de cobertura (FFC) y su desempeño durante la crisis financiera global 2008-2009. |
| dc.creator.fl_str_mv |
Garay, Urbi Hernández, Manuel Rivillo, Carlos |
| dc.contributor.author.spa.fl_str_mv |
Garay, Urbi Hernández, Manuel Rivillo, Carlos |
| dc.subject.eng.fl_str_mv |
Funds of hedge funds Financial crisis of 2008-2009 Probit |
| topic |
Funds of hedge funds Financial crisis of 2008-2009 Probit Fondos de fondos de cobertura Crisis financiera 2008- 2009 Probit. Crise financeira 2008-2009 Fundos de fundos multimercados (hedge funds) Probit |
| dc.subject.spa.fl_str_mv |
Fondos de fondos de cobertura Crisis financiera 2008- 2009 Probit. Crise financeira 2008-2009 Fundos de fundos multimercados (hedge funds) Probit |
| description |
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 desempeño 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. |
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2017 |
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2017-07-01 00:00:00 2023-01-23T16:15:15Z |
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2017-07-01 00:00:00 2023-01-23T16:15:15Z |
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2017-07-01 |
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Artículo de revista |
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http://purl.org/coar/resource_type/c_2df8fbb1 |
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Text |
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Journal article |
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10.14718/revfinanzpolitecon.2017.9.2.8 |
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2011-7663 |
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2248-6046 |
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https://hdl.handle.net/10983/29389 |
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https://doi.org/10.14718/revfinanzpolitecon.2017.9.2.8 |
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10.14718/revfinanzpolitecon.2017.9.2.8 2011-7663 2248-6046 |
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https://hdl.handle.net/10983/29389 https://doi.org/10.14718/revfinanzpolitecon.2017.9.2.8 |
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spa |
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spa |
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https://revfinypolecon.ucatolica.edu.co/article/download/1846/1667 https://revfinypolecon.ucatolica.edu.co/article/download/1846/2326 https://revfinypolecon.ucatolica.edu.co/article/download/1846/2105 |
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Núm. 2 , Año 2017 |
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396 |
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2 |
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373 |
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Revista Finanzas y Política Económica |
| dc.relation.references.spa.fl_str_mv |
Acharya, V. y M. Richardson (2009). Causes of the financial crisis. Critical Review, 21 (2-3), 195-210. Acharya, V., Philippon, T, Richardson, M. y Roubini, N. (2009). The financial crisis of 2007-2009: Causes and remedies. Financial Markets, Institutions & Instruments, 18(2), 89-137. Amonlirdman, K., Getmansky, M., Kurma, R. y Lo, A. W. (2004). The dynamics of global financial crises. Massachussets: MIT Sloan School of Management. Billio, M, Getmansky, M. y Pelizzon, L. (2009). Crises and hedge fund risk. Amherst: Universidad de Massachusetts. Bollen, N. P, y. Do Pool, V. K, (2009). Hedge fund managers misreport returns? Evidence from the pooled distribution. The Journal of Finance, 64(5), 2257-2288. Bollen, N. IP y Whaley, R. E. (2009). Hedge fund risk dynamics: implications for performance appraisal. Journal of Finance, 64, 987-1037. Covitz, D., Liang, N. y Suárez, G. (2009). The anatomy of a financial crisis: The evolution of panic-driven runs in the asset-backed commercial paper market. Working Paper, Board of Governors of the Federal Reserve. Donolue, M., Garay, U., Jaffrain, E., Inhabitant, F., Piere-Yves Mathonet, T, Spurgin, y R. Stevenson (2009). CAIA Level II Advanced Core Topics in Alternative Investments. John Wiley & Sons. Fama, E, y K. French (1992). The cross-section of expected stock returns. The Journal of Finance, 47(2), 427-465. Fama, E, y K. French (1993). Common risk factors in the returns on stocks and bonds. Journal of Financial Economics, 33, 3-56. Fung, W. y Hsieh, y D. A. (2002). Asset-based Style Factors for Hedge Funds. Financial Analyst Journal, 58(5), 16-27. Fung, W. y Hsieh, D. A. (2004). Hedge fund benchmarks: a risk based approach. Financial Analyst Journal, 60, 65-80. Fung, W., Hsieh, D. A., Ramadorai, T y Naik, N. (2008). Hedge funds: performance, risk, and capital formation. The Journal of Finance, 63(4), 1777-1803. Garay, U., Molina, G., Rodríguez, A. y Ter Horst, E. (2016). Bayesian Non-Parametric Estimation of Hedge Fund Performance. Econometrics, 4, 13. Garay, U. y Ter Horst, E. (2009). Real estate and private equity: A review of the diversification benefits and some recent developments. Journal of Alternative Investments, 11 (4), 90-101. Getmansky, M., Lee, IP y Lo, A. (2015). Hedge funds: A dynamic industry in transition. Recuperado de http://ssrn.com/abstract=2637007 Ivashina, V. y Scharfstein, D. (2010). Bank lending during the financial crisis of 2008. Journal of Financial Economics, 97, 319-338. Levitin, A. y Wachter, S. (2012). Explaining the housing bubble. Georgetown Law Journal, J00(4), 1177-1258. Mian, A. y Sufi, A. (2011). House Prices, Home Equity-Based Borrowing, and the US Household Leverage Crisis American Economic Review, 101 (5), 2132-2156. Sharpe, W. (1992). Asset allocation: management style and performance measurement. Journal of Portfolio Management, 18, 7-19. Stulz, R. M. (2007). Hedge funds: past, present, and future. Journal of Economics Perspectives, 21 (2), 175-194. Xu, E., Liu, J. y Loviscek, A. (2011). An examination of hedge fund survivorship bias and attrition before and during the global financial crisis. Journal of Alternative Investments, 13(4), 40-52. |
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Urbi Garay, Manuel Hernández, Carlos Rivillo - 2017 |
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Garay, Urbi b22ad7db-fcfe-46ff-8d08-eea580f1e44bHernández, Manuele130d758-5d16-4189-b0e2-bfa9d0b26cd5300Rivillo, Carlos7e359db1-0731-4c68-8fac-c48cbebdbd233002017-07-01 00:00:002023-01-23T16:15:15Z2017-07-01 00:00:002023-01-23T16:15:15Z2017-07-01Este 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 desempeño 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.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.application/pdftext/htmlapplication/xml10.14718/revfinanzpolitecon.2017.9.2.82011-76632248-6046https://hdl.handle.net/10983/29389https://doi.org/10.14718/revfinanzpolitecon.2017.9.2.8spaUniversidad Católica de Colombiahttps://revfinypolecon.ucatolica.edu.co/article/download/1846/1667https://revfinypolecon.ucatolica.edu.co/article/download/1846/2326https://revfinypolecon.ucatolica.edu.co/article/download/1846/2105Núm. 2 , Año 201739623739Revista Finanzas y Política EconómicaAcharya, V. y M. Richardson (2009). Causes of the financial crisis. Critical Review, 21 (2-3), 195-210.Acharya, V., Philippon, T, Richardson, M. y Roubini, N. (2009). The financial crisis of 2007-2009: Causes and remedies. Financial Markets, Institutions & Instruments, 18(2), 89-137.Amonlirdman, K., Getmansky, M., Kurma, R. y Lo, A. W. (2004). The dynamics of global financial crises. Massachussets: MIT Sloan School of Management.Billio, M, Getmansky, M. y Pelizzon, L. (2009). Crises and hedge fund risk. Amherst: Universidad de Massachusetts.Bollen, N. P, y. Do Pool, V. K, (2009). Hedge fund managers misreport returns? Evidence from the pooled distribution. The Journal of Finance, 64(5), 2257-2288.Bollen, N. IP y Whaley, R. E. (2009). Hedge fund risk dynamics: implications for performance appraisal. Journal of Finance, 64, 987-1037.Covitz, D., Liang, N. y Suárez, G. (2009). The anatomy of a financial crisis: The evolution of panic-driven runs in the asset-backed commercial paper market. Working Paper, Board of Governors of the Federal Reserve.Donolue, M., Garay, U., Jaffrain, E., Inhabitant, F., Piere-Yves Mathonet, T, Spurgin, y R. Stevenson (2009). CAIA Level II Advanced Core Topics in Alternative Investments. John Wiley & Sons.Fama, E, y K. French (1992). The cross-section of expected stock returns. The Journal of Finance, 47(2), 427-465.Fama, E, y K. French (1993). Common risk factors in the returns on stocks and bonds. Journal of Financial Economics, 33, 3-56.Fung, W. y Hsieh, y D. A. (2002). Asset-based Style Factors for Hedge Funds. Financial Analyst Journal, 58(5), 16-27.Fung, W. y Hsieh, D. A. (2004). Hedge fund benchmarks: a risk based approach. Financial Analyst Journal, 60, 65-80.Fung, W., Hsieh, D. A., Ramadorai, T y Naik, N. (2008). Hedge funds: performance, risk, and capital formation. The Journal of Finance, 63(4), 1777-1803.Garay, U., Molina, G., Rodríguez, A. y Ter Horst, E. (2016). Bayesian Non-Parametric Estimation of Hedge Fund Performance. Econometrics, 4, 13.Garay, U. y Ter Horst, E. (2009). Real estate and private equity: A review of the diversification benefits and some recent developments. Journal of Alternative Investments, 11 (4), 90-101.Getmansky, M., Lee, IP y Lo, A. (2015). Hedge funds: A dynamic industry in transition. Recuperado de http://ssrn.com/abstract=2637007Ivashina, V. y Scharfstein, D. (2010). Bank lending during the financial crisis of 2008. Journal of Financial Economics, 97, 319-338.Levitin, A. y Wachter, S. (2012). Explaining the housing bubble. Georgetown Law Journal, J00(4), 1177-1258.Mian, A. y Sufi, A. (2011). House Prices, Home Equity-Based Borrowing, and the US Household Leverage Crisis American Economic Review, 101 (5), 2132-2156.Sharpe, W. (1992). Asset allocation: management style and performance measurement. Journal of Portfolio Management, 18, 7-19.Stulz, R. M. (2007). Hedge funds: past, present, and future. Journal of Economics Perspectives, 21 (2), 175-194.Xu, E., Liu, J. y Loviscek, A. (2011). An examination of hedge fund survivorship bias and attrition before and during the global financial crisis. Journal of Alternative Investments, 13(4), 40-52.Urbi Garay, Manuel Hernández, Carlos Rivillo - 2017info:eu-repo/semantics/openAccesshttp://purl.org/coar/access_right/c_abf2https://creativecommons.org/licenses/by-nc-sa/4.0/https://revfinypolecon.ucatolica.edu.co/article/view/1846Funds of hedge fundsFinancial crisis of 2008-2009ProbitFondos de fondos de coberturaCrisis financiera 2008- 2009Probit.Crise financeira 2008-2009Fundos de fundos multimercados (hedge funds)ProbitVariables microeconómicas de los fondos de fondos de cobertura (FFC) y su desempeño durante la crisis financiera global 2008-2009.Microeconomic variables of funds of hedge funds (FHF) and their performance during the global financial crisis of 2008-2009.Artículo de revistahttp://purl.org/coar/resource_type/c_2df8fbb1http://purl.org/coar/version/c_970fb48d4fbd8a85Textinfo:eu-repo/semantics/articleJournal articlehttp://purl.org/redcol/resource_type/ARTinfo:eu-repo/semantics/publishedVersionPublicationOREORE.xmltext/xml2741https://repository.ucatolica.edu.co/bitstreams/0d0f7980-9707-44b9-a7ea-a4a137b4f1b4/download931663976184461cade30ac833b67045MD5110983/29389oai:repository.ucatolica.edu.co:10983/293892023-03-24 18:01:15.96https://creativecommons.org/licenses/by-nc-sa/4.0/Urbi Garay, Manuel Hernández, Carlos Rivillo - 2017https://repository.ucatolica.edu.coRepositorio Institucional Universidad Católica de Colombia - RIUCaCbdigital@metabiblioteca.com |