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The impact of downside risk on risk-adjusted performance of mutual funds in the Euronext markets

Plantinga, Auke; Sortino, Franks; Meer, Robert van der - EconWPA - 2004

Many performance measures, such as the classic Sharpe ratio have difficulty in evaluating the performance of mutual funds with skewed return distributions. Common causes for skewness are the use of options in the portfolio or superior market timing skills of the portfolio manager. In this...

Persistent link: https://www.econbiz.de/10005413128

Tournaments in Mutual Fund Families

Kempf, Alexander; Ruenzi, Stefan - EconWPA - 2004

In this paper we examine intra-firm competition in the mutual fund industry. Our empirical study of the US mutual fund industry shows for the first time that managers within mutual fund families compete against each other. They adjust the risk they take depending on the relative position within...

Persistent link: https://www.econbiz.de/10005134712

Family Matters: The Performance Flow Relationship in the Mutual Fund Industry

Kempf, Alexander; Ruenzi, Stefan - EconWPA - 2004

The relationship between the performance of mutual funds and their subsequent growth is examined. The focus of our paper is on the influence of the position of a fund within its family. So far only the influence of the position of a fund within its segment on its subsequent inflows has been...

Persistent link: https://www.econbiz.de/10005134764

Mutual Fund Growth in Standard and Specialist Market Segments

Ruenzi, Stefan - EconWPA - 2004

We examine differences in the performance flow relationship (PFR) between different segments of the fund industry. Such differences can be caused by distinct mutual fund investors’ characteristics in different segments. In our empirical study of the US equity mutual fund industry in 1993-2001,...

Persistent link: https://www.econbiz.de/10005134788

TESTING FOR CONTAGION: A CONDITIONAL CORRELATION ANALYSIS

caporale, gulielmo maria; cipollini, rea; spagnolo, nicola - EconWPA - 2004

In this paper we test for contagion within the East Asian region, contagion being defined as a significant increase in … omitted variable respectively. The null of interdependence against the alternative of contagion is then tested as an over … corresponding to the beginning of the contagion period, and finally we impose more plausible restrictions in order to identify the …

Persistent link: https://www.econbiz.de/10005408168

La contagion financi`ere : une ´etude empirique sur les causalités lors de la crise asiatique

Elise, MARAIS - EconWPA - 2004

Cet article a pour objet d’´etudier empiriquement le ph´enom`ene de contagion lors de la crise asiatique de 1997 …

Persistent link: https://www.econbiz.de/10005408190

Is There a Causal Link between Currency and Debt Crises?

Dreher, Axel; Herz, Bernhard; Karb, Volker - EconWPA - 2004

Persistent link: https://www.econbiz.de/10005408199

Financial Fragility with Rational and Irrational Exuberance

Lagunoff, Roger; Schreft, Stacey L. - EconWPA - 1999

failures. Investors forecast the likelihood of loss from contagion and may shift preemptively to safer portfolios, breaking …

Persistent link: https://www.econbiz.de/10005412742

The Contagion Effect of the Terrorist Attacks of the 11th of September

Leitao, Joao; Oliveira, Cristovao - EconWPA - 2005

associated with the Terrorist Attacks of the 11th of September of 2001, in the USA, in terms of the development of contagion … response functions are used. The occurrence of contagion is ratified by the results, starting from the terrorist attacks in the …

Persistent link: https://www.econbiz.de/10005076942

The Contagion Effect Between the Volatilities of the NASDAQ-100 and the IT.CA :A Univariate and A Bivariate Switching Approach

SULEIMANN, Ryan - EconWPA - 2003

This article uses models with changes in regime and conditional variance to show the presence of co-movement between the American and the French New Technology indexes, the NASDAQ-100 and the IT.CAC respectively. For the past two years, American and French New Technology stock markets have been...

Persistent link: https://www.econbiz.de/10005556399