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Does size matter in predicting hedge funds' liquidation?

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  • Adrien Becam
  • Andros Gregoriou
  • Jairaj Gupta

Abstract

In this study, we propose a set of covariates that exploit the information content of hedge funds' relative size, performance, growth, tail risk and past liquidation rate in predicting their liquidation. Empirical results show that our proposed covariates exhibit significant predictive power for up to two years even when we control for fund specific characteristics. Furthermore, we estimate separate liquidation prediction models for small, medium and large funds. Our findings suggest that liquidation likelihood of hedge funds is inversely related to fund size, and the statistical significance of factors affecting their liquidation varies across different size categories.

Suggested Citation

  • Adrien Becam & Andros Gregoriou & Jairaj Gupta, 2019. "Does size matter in predicting hedge funds' liquidation?," European Financial Management, European Financial Management Association, vol. 25(2), pages 271-309, March.
    • Handle: RePEc:bla:eufman:v:25:y:2019:i:2:p:271-309
    DOI: 10.1111/eufm.12159
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    References listed on IDEAS

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