Variables microeconómicas de los fondos de fondos de cobertura (FFC) y su desempeño durante la crisis financiera global 2008-2009
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 const...
- Autores:
-
Garay, Urbi
Hernández, Manuel
Rivillo, Carlos
- Tipo de recurso:
- Article of journal
- Fecha de publicación:
- 2017
- Institución:
- Universidad Católica de Colombia
- Repositorio:
- RIUCaC - Repositorio U. Católica
- Idioma:
- spa
- OAI Identifier:
- oai:repository.ucatolica.edu.co:10983/16963
- Acceso en línea:
- https://hdl.handle.net/10983/16963
- Palabra clave:
- FONDOS DE FONDOS DE COBERTURA
CRISIS FINANCIERA 2008-2009
PROBIT
- Rights
- openAccess
- License
- Derechos Reservados - Universidad Católica de Colombia, 2017
| Summary: | 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. |
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