本研究之主要目的在於探討避險基金產業裡是否具有風險移轉的行為。根據Brown, Harlow and Starks (1996)的文獻，我們用列聨表檢定去分析風險移轉行為。我們也使用了 Petersen (2009)文獻裡面提到的分層回歸法，之所以會使用迴歸分析去探討風險移轉行為想法是來自於 Zhan (2010)這篇文獻。最後我們去檢定風險移轉行為是否會影響避險基金的存活函數或是耗損率。實證結果呈現我們當加入風險從眾行為控制之後，激勵獎金制度與風險移轉行為就沒有顯著相關。此外風險移轉行為的確會顯著影響避險基金的存活函數以及耗損率。

The main purpose in our research is to investigate the risk shifting behavior in hedge fund industry. According to Brown, Harlow and Starks (1996), we use contingency table to analyze the risk shifting behavior. We also apply Petersen (2009) clustering regression method which is inspired by Zhan (2010) to further analyze this issue. Finally, we test whether the risk shifting behavior influences the survival function or attrition rate. Our empirical results do not show a strong relationship between incentive fees and risk shifting behavior after we include the herding behavior as a control variable. We document the evidence that risk shifting behavior can indeed affect the survival function and hazard ratio.

Ackermann, C., R. McEnally, and D. Ravenscraft 1999. "The performance of hedge funds: Risk, return, and incentives." The Journal of Finance, vol. 54, No.3, 833-874.
Bares, P.-A., R. Gibson , and S. Gyger 2001. "Style consistency and survival probability in the hedge funds industry." SSRN eLibrary.
Brown, K. C., W. V. Harlow, and L. T. Starks 1996. "Of tournaments and temptations: An analysis of managerial incentives in the mutual fund industry." The Journal of Finance, vol. 51, No.1, 85-110.
Brown, S. J., W. N. Goetzmann, and J. Park 2001. "Careers and survival: Competition and risk in the hedge fund and cta industry." The Journal of Finance, vol. 56, No.5, 1869-1886.
Carpenter, J. N. 2000. "Does option compensation increase managerial risk appetite?" The Journal of Finance, vol. 55, No.5, 2311-2331.
Clare, A. D., and N. E. Motson 2008. "Locking in the profits or putting it all on black? An investigation into the risk-taking behaviour of hedge fund managers." Journal of Alternative Investments, vol. 12, No.2.
Cox, D. R. 1972. "Regression models and life-tables." Journal of the Royal Statistical Society. Series B, vol. 34, No.2, 187-220.
Gregoriou, G. N. 2002. "Hedge fund survival lifetimes." Journal of Asset Management, vol. 3, No.1, 237-252.
Kaplan, E. L., and P. Meier 1958. "Nonparametric estimation from incomplete observations." Journal of the American Statistical Association, vol. 53, No.282, 457-481.
Kat, H. M., and G. S. Amin 2001. "Welcome to the dark side: Hedge fund attrition and survivorship bias over the period 1994-2001." SSRN eLibrary.
Kempf, A., S. Ruenzi, and T. Thiele 2009. "Employment risk, compensation incentives, and managerial risk taking: Evidence from the mutual fund industry." Journal of Financial Economics, vol. 92, No.1, 92-108.

Kouwenberg, R., and W. T. Ziemba 2007. "Incentives and risk taking in hedge funds." Journal of Banking & Finance, vol. 31, No.11, 3291-3310.
Massa, M., and R. Patgiri 2009. "Incentives and mutual fund performance: Higher performance or just higher risk taking?" Review of Financial Studies, vol. 22, No.5, 1777-1815.
Morton, B. B., and A. B. Forsythe 1974. "The small sample behavior of some statistics which test the equality of several means." Technometrics, vol. 16, No.1, 129-132.
Petersen, M. A. 2009. "Estimating standard errors in finance panel data sets: Comparing approaches." Review of Financial Studies, vol. 22, No.1, 435-480.
Zhan, G. 2010. "The tournament behavior in hedge funds: A reexamination." working paper.
楊珮玉, 2009, 避險基金的變革、存活及篩選之研究, Evolutionary Changes, Survival and Selection of Hedge Funds (臺灣大學 財務金融所 博士論文).