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Management compensation and market timing under portfolio constraints

Agarwal, Vikas; Gómez, Juan-Pedro; Priestley, Richard - In: Journal of economic dynamics & control 36 (2012) 10, pp. 1600-1625

Persistent link: https://www.econbiz.de/10009701968

Factor exposure variation and mutual fund performance

Ammann, Manuel; Fischer, Sebastian; Weigert, Florian - 2020 - This version: August 2020

We investigate the relationship between a mutual fund's variation in factor exposures and its future performance. Using a dynamic state space version of Carhart (1997)'s four factor model to capture factor variation, we find that funds with volatile factor exposures underperform funds with...

Persistent link: https://www.econbiz.de/10012264676

Technical market anomalies : leveraged ETF trading with daily and intraday temporal functionalities

Basdekidou, Vasiliki A.; Styliadou, Artemis A. - In: Inventi impact: microfinance & banking (2017) 3, pp. 104-108

Persistent link: https://www.econbiz.de/10011808147

IPO trading with short-term & intraday temporal functionalities

Basedekidou, Vasiliki A. - In: Inventi impact: international trade (2017) 2, pp. 60-65

Persistent link: https://www.econbiz.de/10011753598

Nonparametric tests for market timing ability using daily mutual fund returns

Ding, Jing; Jiang, Lei; Liu, Xiaohui; Peng, Liang - In: Journal of economic dynamics & control 150 (2023), pp. 1-20

Persistent link: https://www.econbiz.de/10014287781