Does size matter in predicting hedge funds' liquidation?
研究提出利用相对规模、业绩、增长、尾部风险和过去清算率等变量预测对冲基金清算，发现规模越小清算可能性越大，且不同规模基金的影响因素不同。
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.