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Efficiency and persistence of Spanish absolute Return Funds
Solórzano-Taborga, Pablo; Alonso-Conde, Ana Belén; … - In: Revista de métodos cuantitativos para la economía y … 25 (2018), pp. 186-214
Performance measurement is an area of crucial interest in asset valuation and investment management. High volatility as well as time aggregation of returns, amongst other characteristics, may distort the results of conventional measures of performance. In this work, we study the performance of...
Persistent link: https://www.econbiz.de/10011870722
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Dynamic Return-Based Classification of European Mutual Funds
Gerlach, Philipp - 2015
In this study, we analyze the monthly fund migrations in a return-based classification scheme for European mutual funds …. Accounting for the time-varying commonalities in returns, we derive a classification scheme consisting of four layers with two …, six, 15, and 20 groups respectively. In the two-group solution fund migrations are low while in the classification with …
Persistent link: https://www.econbiz.de/10013017683
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Japanese mutual funds before and after the crisis outburst : a style- and performance-analysis
Papadamou, Stephanos; Kyriazis, Nikolaos A.; Mermigka, Lydia - In: International Journal of Financial Studies : open … 5 (2017) 1, pp. 1-20
This paper investigates how mutual funds performed in Japan before and after the 2008 outburst of the global financial crisis, that is during the extension of an extraordinary unconventional monetary policy by the Bank of Japan. Style and performance analyses are employed in order to investigate...
Persistent link: https://www.econbiz.de/10011649298
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Mutual fund style, characteristic-matched performance benchmarks and activity measures : a new approach
Buncic, Daniel; Eggins, Jon E.; Hill, Robert J. - 2010
Persistent link: https://www.econbiz.de/10008668303
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Pricing of listed private equity : risk and return, net asset values, and loss aversion
Lahr, Henry - 2010
Persistent link: https://www.econbiz.de/10008857282
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Difference in interim performance and risk taking with short-sale constraints
Başak, Suleyman; Makarov, Dmitry - 2010
Persistent link: https://www.econbiz.de/10008824266
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Relative performance, risk and entry in the mutual fund industry
Lóránth, Gyöngyi (contributor);  … - 2006
Persistent link: https://www.econbiz.de/10003386966
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Mutual fund competition in the presence of dynamic flows
Breton, Michèle; Hugonnier, Julien; Masmoudi, Tarek - 2008
This paper analyzes competition between mutual funds in a multiple funds version of the model of Hugonnier and Kaniel. We characterize the set of equilibria for this delegated portfolio management game and show that there exists a unique Pareto optimal equilibrium. The main result of this paper...
Persistent link: https://www.econbiz.de/10003962143
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Theory of social returns in portfolio choice with application to microfinance
Dorfleitner, Gregor; Leidl, Michaela; Reeder, Johannes - 2011
Persistent link: https://www.econbiz.de/10009155407
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Performance implications of active management of institutional mutual funds
Bird, Ron; Pellizzari, Paolo; Yeung, Danny - 2011
Persistent link: https://www.econbiz.de/10009500933