Putting corona into hedge fund managers' head

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.