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| Costas Siriopoulos and Dionisis Philippas |
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| ''Putting corona into hedge fund managers' head'' |
| ( 2024, Vol. 44 No.1 ) |
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| The paper discusses the sensitivity of hedge funds' risk of failure, attributed to Covid-19 outbreak using a non-linear threshold multivariate analysis. The empirical results indicate that hedge funds shift their attention more towards informative signals depicting the impact of the Covid-19 pandemic and less towards indicators that reflect market sentiment, volatility, and momentum. By understanding the behaviour of active managers and their risk perception in relation with the impact of Covid-19 outbreak, we gain insights into the extent to which certain factors continue to play key role in hedge funds' risk perception during exceptional times such as the post Covid-19 period. |
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| Keywords: hedge funds, leverage, risk perception, conditional VaR, Covid-19 |
JEL: Y1 - Special Issue in Honor of Michel Terraza
G1 - General Financial Markets |
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| Manuscript Received : Apr 02 2021 | | Manuscript Accepted : Mar 30 2024 |
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