This study proposed a new analytical approach to identify the excessive comovement of two markets as contagion. This goal is achieved by linking latent-factor and single-equation error correction models and evaluating the breaks in the short- and long-term relationships and correlatedness in the...

This study establishes survival/hazard models with time-varying covariates, as well as fixed covariates, under three specifications of the Cox Proportional Hazards (CPH) model for Hedge Fund (HFs) and Funds-of-Hedge Funds (FOHFs). With the development of the SAS Macro program for generating...

Hedge funds have the most sophisticated risk management practices; however, hedge funds also appear to have a short lifetime relative to other managed funds. In this study, we investigate the failure probabilities of hedge funds — particularly the failures due to financial distress. We...

The objective of this paper is to examine whether the available data on hedge funds (HFs) and funds-of-hedge funds (FOHFs) can reveal the risk-return trade-off and, if so, to find the best risk measure that captures the cross-sectional variation in HF and FOHF returns. Using the “live funds”...