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Table 7 Sensitivities of hedge fund strategies’ betas to the Amihud ratio using pooled regressions with fixed coefficients and SUR, 1995–2016

From: Tracking market and non-traditional sources of risks in procyclical and countercyclical hedge fund strategies under extreme scenarios: a nonlinear VAR approach

  Amihud
  Crises Outside crises Subprime Outside subprime Whole sample
General index − 0.03 − 0.02 0.06 − 0.03 − 0.03
  − 2.39 − 2.29 2.44 − 3.85 − 3.37
Convertibles − 0.04 − 0.66 0.11 − 0.04 − 0.03
  − 1.13 − 0.02 2.14 − 2.01 − 1.33
Distressed securities − 0.13 − 0.02 0.01 − 0.08 − 0.08
  − 7.92 − 2.04 0.02 − 5.90 − 5.78
Event driven − 0.18 − 0.04 0.01 − 0.11 − 0.11
  − 6.83 − 3.13 0.17 − 8.91 − 8.21
Equity market neutral − 0.17 − 0.04 − 0.02 − 0.11 − 0.11
  − 8.29 − 2.85 − 0.62 − 8.05 − 7.88
Fixed income − 0.02 − 0.01 0.07 − 0.02 − 0.01
  − 1.96 − 0.04 3.45 − 2.26 − 1.56
Futures − 0.23 − 0.02 − 0.02 − 0.13 − 0.12
  − 1.68 − 0.75 − 0.32 − 5.13 − 5.06
Growth − 0.10 0.01 0.18 − 0.07 − 0.04
  − 1.89 0.28 1.83 − 1.70 − 1.07
Long-short credit − 0.14 − 0.01 0.01 − 0.07 − 0.07
  − 8.03 − 0.23 0.34 − 6.52 − 6.27
Macro − 0.01 0.01 0.09 − 0.01 − 0.01
  − 0.25 0.18 1.06 − 0.32 − 0.13
Mergers − 0.16 0.01 − 0.11 − 0.06 − 0.07
  − 8.60 0.62 − 3.13 − 4.38 − 5.19
Multistrategy 0.03 0.13 0.08 0.09 0.08
  1.49 4.47 1.21 3.87 3.71
Opportunity index − 0.15 − 0.02 0.11 − 0.11 − 0.08
  − 3.98 − 0.68 1.44 − 3.33 − 2.75
Short-sellers − 0.24 − 0.23 − 0.19 − 0.24 0.07
  − 2.72 − 3.12 − 1.05 − 3.05 1.66
Value index 0.09 0.07 0.39 0.03 0.13
  1.36 1.23 3.29 0.68 0.56
All strategies − 0.05 0.01 0.04 − 0.05 − 0.02
  − 5.28 0.01 3.46 − 12.64 − 5.69
  1. This table provides the estimation of Eq. (18) using pooled regressions accounting for the interaction between strategies’ innovations (SUR, i.e., seemingly unrelated regressions, Zellner 1962). Eq. (18) is estimated over the whole sample period and over our two scenarios described in "Robustness check: response of hedge fund strategies to illiquidity shocks" section. In order to avoid overloading this table, we only report the estimated coefficients associated with the Amihud (2002, 2019) ratio for each strategy. t-statistics are in italics. Shaded coefficients are significant at the 10% level or less