The Survival of Exchange-Listed Hedge Funds

Journal of Applied Research in Accounting and Finance, Vol. 4, No. 2, pp. 2-11, 2009

15 Pages Posted: 15 Feb 2010 Last revised: 3 Mar 2010

See all articles by Greg N. Gregoriou

Greg N. Gregoriou

SUNY College at Plattsburgh; McGill University

Francois Lhabitant

Kedge Capital Fund Management; EDHEC Business School

Fabrice Douglas Rouah

McGill University - Desautels Faculty of Management

Date Written: 2009

Abstract

This paper attempts to determine whether exchange-listed hedge funds experience longer lifetimes than non-listed funds, even after factors known to affect survival, such as size and performance, are considered. The Kaplan-Meier estimator is used to compare survival times of listed and non-listed funds. The Cox proportional hazards model is used to make the same comparison, but by controlling for additional factors. The accelerated failure time (AFT) regression model is used to estimate the median survival time of hedge funds, based on values of explanatory variables. Listed hedge funds tend to be larger and adopt more conservative investment strategies than non-listed funds. Listed funds tend to survive roughly two years longer on average than non-listed funds, and this difference in longevity is persistent even after controlling for factors known to affect survival. Finally, we find that the failure rate of listed funds is substantially lower than that of non-listed funds, but only during the first five years of life.

Keywords: Hedge Funds, Listed Funds, Survival, Accelerated Failure Time

JEL Classification: M40, M41

Suggested Citation

Gregoriou, Greg N. and Lhabitant, Francois-Serge and Rouah, Fabrice Douglas, The Survival of Exchange-Listed Hedge Funds (2009). Journal of Applied Research in Accounting and Finance, Vol. 4, No. 2, pp. 2-11, 2009. Available at SSRN: https://ssrn.com/abstract=1553026

Greg N. Gregoriou (Contact Author)

SUNY College at Plattsburgh ( email )

Plattsburgh, NY 12903
United States

McGill University ( email )

1001 Sherbrooke St. W
Montreal, Quebec H3A 1G5
Canada

Francois-Serge Lhabitant

Kedge Capital Fund Management ( email )

28-30 The Parade
St Helier, JE1 1ZZ
Jersey

HOME PAGE: http://www.lhabitant.net

EDHEC Business School ( email )

393 Prom. des Anglais
Nice, 06200
France

Fabrice Douglas Rouah

McGill University - Desautels Faculty of Management ( email )

1001 Sherbrooke St. West
Montreal, Quebec H3A1G5 H3A 2M1
Canada

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