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Reversed default behaviour in a new defined contribution pension system
Engström, Stefan (contributor);  … - 2003 - [Elektronische Ressource], Rev. August 12, 2003
This paper provides a detailed examination of individuals' active participation in a new public and mandatory defined contribution pension system. The new pension system was launched in the fall of 2000 and entitles Sweden's workforce of 4.4 million individuals to invest part of their individual...
Persistent link: https://www.econbiz.de/10001753272
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Information costs and mutual fund flows
Engström, Stefan (contributor);  … - 2004 - [Elektronische Ressource]
This paper examines how investor and capital flows into mutual funds in the Swedish pension system are related to fund characteristics. Similarly to U.S. studies, we show that individuals chase past returns and have a strong preference for lower-fee funds. However, our results suggest that past...
Persistent link: https://www.econbiz.de/10001979838
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Does active portfolio management create value? : an evaluation of fund managers' decisions
Engström, Stefan (contributor) - 2004 - [Elektronische Ressource]
value created and trading activity. -- Mutual Funds ; Portfolio Evaluation ; Performance Attribution ; Trading …
Persistent link: https://www.econbiz.de/10001946175
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Investment strategies, fund performance and portfolio characteristics
Engström, Stefan (contributor) - 2004 - [Elektronische Ressource]
This paper studies the relation between fund performance and the fund manager's investment strategy, which is based on … can explain differences in fund performance. However, the paper finds a negative firm-size effect that partly explains … previous findings of a negative fund-size effect. Moreover, the results show a positive relation between performance and the …
Persistent link: https://www.econbiz.de/10001946185
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Error correction in DHSY
Eliasson, Ann-Charlotte (contributor);  … - 2002 - [Elektronische Ressource]
In this note, we consider the contradiction between the fact that the best fit for the UK consumption data in Davidson et al. (1978) is obtained using an equation with an intercept but without an error correction term, whereas the equation with error correction and without the intercept has...
Persistent link: https://www.econbiz.de/10001714625
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A combinatorial approach to piecewise linear time series analysis
Medeiros, Marcelo C. (contributor);  … - 2000 - [Elektronische Ressource]
Over recent years, several nonlinear time series models have been proposed in the literature. One model that has found a large number of successful applications is the threshold autoregressive model (TAR). The TAR model is a piecewise linear process whose central idea is to change the parameters...
Persistent link: https://www.econbiz.de/10001599987
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Why not use standard panel unit root test for testing PPP
Lyhagen, Johan (contributor) - 2000 - [Elektronische Ressource]
In this paper we show the consequences of applying a panel unit root test when testing for a purchasing power parity relationship. The distribution of the tests investigated, including the IPS test of Im et al (1997), are influenced by a common stochastic trend which is usually not accounted...
Persistent link: https://www.econbiz.de/10001600044
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The effects of institutional and technological change and business cycle fluctuations on seasonal patterns in quarterly industrial production series
Dijk, Dick van (contributor); Strikholm, Birgit (contributor) - 2001 - [Elektronische Ressource], Received: February 2003, Rev. June 1, 2004
Changes in the seasonal patterns of macroeconomic time series may be due to the effects of business cycle fluctuations or to technological and institutional change or both. We examine the relative importance of these two sources of change in seasonality for quarterly industrial production series...
Persistent link: https://www.econbiz.de/10001600051
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A simple efficient GMM estimator of GARCH models
Skoglund, Jimmy (contributor) - 2001 - [Elektronische Ressource]
This paper is concerned with efficient GMM estimation and inference in GARCH models. Sufficient conditions for the …
Persistent link: https://www.econbiz.de/10001600059
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Using a trade-induced catch-up model to explain China's provincial economic growth 1978 - 97
Yao, James Yudong; Lyhagen, Johan - 2001 - [Elektronische Ressource]
This paper attempts to make an innovative contribution to the growth literature by proposing a trade-induced catch up model in which imitation benefit is explicitly modelled and trade knowledge spillover is considered. The resulting income dynamics is in the error correction form. The Pooled...
Persistent link: https://www.econbiz.de/10001600063