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dc.contributor.author
Martins, Omidiji Olutunde
en
dc.date.accessioned
2015-06-10T12:08:12Z
dc.date.available
2015-09-27T05:57:02Z
dc.date.issued
2015-06-10
dc.identifier.uri
https://repository.ihu.edu.gr//xmlui/handle/11544/264
dc.rights
Default License
dc.title
Evaluation of Hedge Fund Performance during Financial Crisis that started 2007-the case of US
en
heal.type
masterThesis
heal.keyword
Performance
en
heal.keyword
Financial crisis
en
heal.keyword
Risk factors
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heal.keyword
Strategy
en
heal.keyword
stationary
en
heal.language
en
heal.access
free
el
heal.license
http://creativecommons.org/licenses/by-nc/4.0
heal.recordProvider
School of Economics, Business Administration and Legal Studies, MSc in Banking and Finance
heal.publicationDate
2013
heal.bibliographicCitation
Omidiji Olutunde Martins,, 2013, Evaluation of Hedge Fund Performance during Financial Crisis that started 2007-the case of US, Master's Dissertation, International Hellenic University
en
heal.abstract
This paper investigates the performance of hedge fund during the recent financial crisis period starting August 2007 in the United State. The study primarily covers the period June 2007 to July 2012. We investigate the relative effect of the financial crisis on selected hedge fund strategy indexes of the CSFB Tremont. We tested the properties of hedge funds, stationarity of hedge funds NAV. To investigate the causal effect of the financial crisis on hedge fund strategy indexes, a risk factor model test was conducted on hedge fund indexes. Six risk proxies was regressed against each of the hedge fund factors. Our findings suggest that hedge fund performance were affected in the recent financial crisis, although they still perform better than traditional asset classes in terms of annualized return and volatility. We also find that illiquidity and credit shortage characterized the financial crisis period. The result of the study supports the position of the literature that hedge funds perform better than traditional asset class in the current financial crisis. Therefore, holding the existing factors constant, hedge fund may still serve as a haven for investors during financial crisis
en
heal.tableOfContents
1.0 INTRODUCTION :Theoretical Background of Hedge Funds (HFs)……….2 2.0 CAUSES OF THE 2007/2008 FINANCIAL CRISIS………………………12 2.1 Comparison of the past financial crisis with the present……………..14 2.1.1 Financial Crisis 1990 and 2000 (European currency crisis)…..……15 2.1.2 Asian Crisis (1997 -1999)…………………………………………..16 2.1.3 IT bubble -1999……………………………………………………..17 2.1.4 Long Term Capital Management (LTCM 1998)……………………18 3.0 HEDGE FUND AND FINANCIAL SYSTEM INTERACTION……………19 4.0 RATIONALE FOR STUDY………………………………………………….22 4.1 Research Questions……………………………………………………23 4.3 Hypothesis……………………………………………………………..23 5.0 METHODOLOGY……………………………………………………………23 5.1 DATA AND VALIDATION…………………………………………………27 6.0 LITERATURE REVIEW…………………………………………………….28 7.0 SUMMARY STATISTICS…..…………………………..……………………31 7.1 Jarque Bera Normality test Analysis………………………………… 31 7.2 Augmented Dickey Fuller test (ADF)………………………………...34 7.3 Autocorrelation correction…………………………………………….35 7.4 Autocorrelation as a measure of Illiquidity risk……………………….40 8.0 CONCLUSION AND RECOMMENDATION……………………………..41 References………………………………………………………………..43 Appendix……………………………………………(See Excel Schedule)
en
heal.advisorName
Syriopoulos, Costas
en
heal.committeeMemberName
Syriopoulos, Costas
en
heal.committeeMemberName
Grose, Christos
en
heal.committeeMemberName
Tsekrekos, Andrianos
en
heal.academicPublisher
School of Economics and Business Administration, Msc in Banking and Finance
en
heal.academicPublisherID
ihu
heal.numberOfPages
48
heal.fullTextAvailability
true


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