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Persistent link: https://www.econbiz.de/10014325365
We re-examine performance persistence amongst UK mutual funds. Specifically, we investigate performance persistence among small portfolios of past high-performing funds. In contrast to the more common analysis of decile portfolios of funds, we focus on persistence in the more extreme positive...
Persistent link: https://www.econbiz.de/10014254919
We re-examine US mutual fund performance persistence. We investigate persistence (i) using both “academic” factor models and “practitioner” index models, (ii) using decile-size recursive portfolios and also portfolios formed from smaller numbers of funds, (iii) using nonparametric...
Persistent link: https://www.econbiz.de/10014030705
We investigate the role of domestic and international economic uncertainty in the cross-sectional pricing of UK stocks. We consider a broad range of financial market variables in measuring financial conditions in order to obtain a better estimate of macroeconomic uncertainty compared to previous...
Persistent link: https://www.econbiz.de/10012890201
This study examines the asset pricing role of ‘sentiment risk' in stock returns in the case of the UK stock market. We define sentiment risk as the sensitivity of stock returns to investor sentiment in financial markets. We incorporate a broad range of financial market variables in measuring...
Persistent link: https://www.econbiz.de/10012890282
We test whether firm idiosyncratic risk is priced in a large cross-section of U.K. stocks. A distinguishing feature of our paper is that our tests allow for a conditional relationship between systematic risk (beta) and returns in our tests, i.e., conditional on whether the excess market return...
Persistent link: https://www.econbiz.de/10013058587
Persistent link: https://www.econbiz.de/10015192327
Persistent link: https://www.econbiz.de/10010343568
This study examines the market-timing performance of Chinese equity securities investment funds during the period from May 2003 to May 2014 using the parametric tests of Treynor–Mazuy and Henriksson–Merton as well as the Jiang non-parametric test. Based on the non-parametric approach, the...
Persistent link: https://www.econbiz.de/10011760210
This study examines the market-timing performance of Chinese equity securities investment funds during the period from May 2003 to May 2014 using the parametric tests of Treynor–Mazuy and Henriksson–Merton as well as the Jiang (2003) non-parametric test. Based on the non-parametric approach,...
Persistent link: https://www.econbiz.de/10012900848