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Variables microeconómicas de los fondos de fondos de cobertura (FFC) y su desempeno durante la crisis financiera global 2008-2009

Author

Listed:
  • Urbi Garay
  • Manuel Hernández
  • Carlos Rivillo

Abstract

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 desempeno 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.

Suggested Citation

  • Urbi Garay & Manuel Hernández & Carlos Rivillo, 2017. "Variables microeconómicas de los fondos de fondos de cobertura (FFC) y su desempeno durante la crisis financiera global 2008-2009," Revista Finanzas y Politica Economica, Universidad Católica de Colombia, vol. 9(2), pages 373-396, July.
    • Handle: RePEc:col:000443:016373
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    References listed on IDEAS

    as
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    3. Nicolas P.B. Bollen & Robert E. Whaley, 2009. "Hedge Fund Risk Dynamics: Implications for Performance Appraisal," Journal of Finance, American Finance Association, vol. 64(2), pages 985-1035, April.
    4. Loriana Pelizzon & Monica Billio & Mila Getmansky, 2008. "Crisis and Hedge Fund Risk," Working Papers 2008_10, Department of Economics, University of Venice "Ca' Foscari".
    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    fondos de fondos de cobertura; crisis financiera 2008-2009; Probit;
    All these keywords.

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • G24 - Financial Economics - - Financial Institutions and Services - - - Investment Banking; Venture Capital; Brokerage

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