Similar Search Results

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

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

On Stock Market Dynamics through Ultrametricity of Minimum Spanning Tree

Situngkir, Hokky; Surya, Yohanes - EconWPA - 2005

We analyze the evolving price °uctuations by using ultrametric distance of minimally spanning ¯nancial tree of stocks traded in Jakarta Stock Exchange 2000-2004. Ultrametricity is derived from transformation of correlation coe±cients into the distances among stocks. Our analysis evaluates the...

Persistent link: https://www.econbiz.de/10005076735

Introduction to Market Microstructure

EKINCI, Cumhur - EconWPA - 2004

Persistent link: https://www.econbiz.de/10005134945

Chakravorti, Sujit - EconWPA - 2001

The hypothesis put forth is that the U.S. dollar's role as a vehicle currency in global foreign exchange markets is linked to the low cost of payments-related intraday credit. After reviewing the types of intraday credit facilities extended to participants on payment systems settling the major...

Persistent link: https://www.econbiz.de/10005062706

Is Liquidity Reflected in Bond Yields? Evidence from the Euro Corporate Bond Market

Houweling, Patrick; Mentink, Albert; Vorst, Ton - EconWPA - 2002

We test whether liquidity is priced in the euro-denominated corporate bond market. We use the Arbitrage Pricing Theory … to control for other sources of risk. Yields are used to measure the bonds' expected returns and liquidity is … significant pricing anomalies due to liquidity exist for euro- denominated bonds. We find that the yield premium between liquid …

Persistent link: https://www.econbiz.de/10005413035

Time-Varying Arrival Rates of Informed and Uninformed Trades

Easley, David; Engle, Robert F.; O'Hara, Maureen; Wu, Liuren - EconWPA - 2002

the arrival rates of trades and trade composition on market volatility, liquidity and depth. We find that although … composition of the trade. We use the opening bid-ask spread as a measure of market liquidity. We find that as the number of trades …

Persistent link: https://www.econbiz.de/10005413104

The Relevance of Short Sales to the Maltese Stock Market

Azzopardi, Paul V.; Camilleri, Silvio John - EconWPA - 2004

particular reference to how short sales may enhance informational efficiency and their relationship with liquidity. The paper … may be desirable on the Maltese stock market for enhancing price efficiency and liquidity, yet a more formal framework for … stock market, due to low liquidity levels. …

Persistent link: https://www.econbiz.de/10005413209

1
2
3
4
5
6
7
8
Next
Last