The subprime crisis was quite damaging for hedge funds.Using the local projection method(Jordà2004,2005,2009),we forecast the dynamic responses of the betas of hedge fund strategies to macroeconomic and financial...The subprime crisis was quite damaging for hedge funds.Using the local projection method(Jordà2004,2005,2009),we forecast the dynamic responses of the betas of hedge fund strategies to macroeconomic and financial shocks—especially volatility and illiquidity shocks—over the subprime crisis in order to investigate their market timing activities.In a robustness check,using TVAR(Balke 2000),we simulate the reaction of hedge fund strategies’betas in extreme scenarios allowing moderate and strong adverse shocks.Our results show that the behavior of hedge fund strategies regarding the monitoring of systematic risk is highly nonlinear in extreme scenarios—especially during the subprime crisis.We find that countercyclical strategies have an investment technology which differs from procyclical ones.During crises,the former seek to capture non-traditional risk premia by deliberately increasing their systematic risk while the later focus more on minimizing risk.Our results suggest that the hedge fund strategies’betas respond more to illiquidity uncertainty than to illiquidity risk during crises.We find that illiquidity and VIX shocks are the major drivers of systemic risk in the hedge fund industry.展开更多
文摘目的:探讨创伤出血性休克后急性呼吸窘迫综合征(acute respiratory distress syndrome,ARDS)的危险因素。方法:回顾性研究2012年12月至2021年8月期间共314名创伤出血性休克患者,其中男性患者152名,女性患者162名,年龄中位数为63.00(49.75~82.00)岁。记录患者住院期间的各项临床指标,根据入院7 d内是否发生ARDS将患者分为两组,即ARDS组(n=89)和非ARDS组(n=225),通过判定差异寻找ARDS的危险因素,并建立预测是否出现ARDS的回归模型。结果:创伤出血性休克后ARDS的发生率为28.34%,Logistic回归模型分析发现创伤出血性休克后ARDS的独立危险因素包括男性、冠状动脉粥样硬化性心脏病(简称冠心病)史、高急性生理与慢性健康评分Ⅱ(acute physiology and chronic health evaluationⅡ,APACHEⅡ)、受伤原因为车祸伤和肌钙蛋白Ⅰ升高,各独立危险因素的OR值及95%可信区间(confidence intervals,CI)分别为4.01(95%CI:1.75~9.20)、5.22(95%CI:1.29~21.08)、1.07(95%CI:1.02~1.57)、2.53(95%CI:1.21~5.28)和1.26(95%CI:1.02~1.57),P值分别为0.001、0.020、0.009、0.014和0.034。预测创伤出血性休克后ARDS的受试者工作特征(receiver operating characteristic,ROC)曲线下面积(area under curve,AUC)分别为:男性0.59(95%CI:0.51~0.68)、冠心病史0.55(95%CI:0.46~0.64)、APACHEⅡ评分0.65(95%CI:0.57~0.73)、受伤原因为车祸伤0.58(95%CI:0.50~0.67)、肌钙蛋白Ⅰ0.73(95%CI:0.66~0.80),总体预测值为0.81(95%CI:0.74~0.88)。结论:ARDS在创伤出血性休克患者中发生率较高,男性、冠心病史、高APACHEⅡ评分、受伤原因为车祸伤和肌钙蛋白Ⅰ升高是创伤出血性休克后ARDS的独立危险因素,及时监测这几项指标有利于早期识别和治疗创伤出血性休克后ARDS。
基金support from the IPAG Business School and from the Social Sciences and Humanities Research Council of Canada(SSHRC)—Grant No.435-2019-0078.
文摘The subprime crisis was quite damaging for hedge funds.Using the local projection method(Jordà2004,2005,2009),we forecast the dynamic responses of the betas of hedge fund strategies to macroeconomic and financial shocks—especially volatility and illiquidity shocks—over the subprime crisis in order to investigate their market timing activities.In a robustness check,using TVAR(Balke 2000),we simulate the reaction of hedge fund strategies’betas in extreme scenarios allowing moderate and strong adverse shocks.Our results show that the behavior of hedge fund strategies regarding the monitoring of systematic risk is highly nonlinear in extreme scenarios—especially during the subprime crisis.We find that countercyclical strategies have an investment technology which differs from procyclical ones.During crises,the former seek to capture non-traditional risk premia by deliberately increasing their systematic risk while the later focus more on minimizing risk.Our results suggest that the hedge fund strategies’betas respond more to illiquidity uncertainty than to illiquidity risk during crises.We find that illiquidity and VIX shocks are the major drivers of systemic risk in the hedge fund industry.
