Failure Risk and the Cross‐Section of Hedge Fund Returns
用动态逻辑回归模型估算对冲基金的失败概率，发现失败概率越高的基金未来收益越低，最高与最低失败概率组合的年收益差达5%至6%。
Modeling a hedge fund's probability of failure with a dynamic logit regression, I find that the probability of a fund's failure has a significantly negative effect on the fund's future returns. A quintile portfolio with the highest failure probability underperforms a quintile portfolio with the lowest failure probability by 5% to 6% per year from 1997 to 2012. The results are robust to the definition of hedge fund failure and controlling for a large set of risk factors and fund characteristics. Moreover, the negative effect of failure probability on future fund returns is stronger for funds with weak share restrictions.