Putting corona into hedge fund managers' head

Costas Siriopoulos () and Dionisis Philippas ()
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Costas Siriopoulos: College of Business, Zayed University
Dionisis Philippas: ESSCA School of Management

Economics Bulletin, 2024, vol. 44, issue 1, 341 - 357

Abstract: 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.

Keywords: hedge funds; leverage; risk perception; conditional VaR; Covid-19 (search for similar items in EconPapers)
JEL-codes: G1 Y1 (search for similar items in EconPapers)
Date: 2024-03-30
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