Similar Search Results

Does active portfolio management create value? : an evaluation of fund managers' decisions

Engström, Stefan (contributor) - 2004 - [Elektronische Ressource]

In this paper, I obtain new measures of the value of active portfolio management by forming replicating portfolios. These measures allow for a separate evaluation of fund managers' strategic and tactical decisions. I also obtain new evidence on the value of trading by decomposing it into...

Persistent link: https://www.econbiz.de/10001946175

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

Is momentum due to data-snooping?

Ericsson, Johan (contributor); … - 2003 - [Elektronische Ressource]

This paper explores the profitability of portfolio-based momentum strategies. The data consists of all NYSE, AMEX, and NASDAQ stocks on the CRSP database. The analysis considers the period July 1963 to December 2002 and the tests are performed on portfolios formed on industry, size and...

Persistent link: https://www.econbiz.de/10001883186

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 … performance. -- Diversification ; Portfolio Evaluation ; Investment Strategies ; Momentum …

Persistent link: https://www.econbiz.de/10001946185

Reversed default behaviour in a new defined contribution pension system

Engström, Stefan (contributor); … - 2003 - [Elektronische Ressource], Rev. August 12, 2003

with a reversed investment behavior compared with studies of 401(k) plans; that is, individuals tend to make their own … investment decisions. Contrary to U.S studies, we also find that women and younger individuals are more likely than men and older … individuals to make an active investment decision. -- Mutual funds ; portfolio choice ; pension system ; status quo bias …

Persistent link: https://www.econbiz.de/10001753272

The labor-supply elasticity and borrowing constraints : why estimates are biased

Domeij, David (contributor); Flodén, Martin (contributor) - 2001 - [Elektronische Ressource]

The labor-supply elasticity is a central element in many macroeconomic models. We argue that assumptions underlying previous econometric estimates of the intertemporal labor supply elasticity are inconsistent with incomplete markets economies. In particular, if the econometrician ignores...

Persistent link: https://www.econbiz.de/10001626699

Evaluating portfolio performance with stochastic discount factors

Dahlquist, Magnus; Söderlind, Paul - 1997

Persistent link: https://www.econbiz.de/10000962236

Real effects of budget deficits : theory and evidence

Becker, Torbjörn; Paalzow, Anders - 1997

Persistent link: https://www.econbiz.de/10000959522

Aggregate savings when individual income varies

Flodén, Martin (contributor) - 2005 - [Elektronische Ressource]

This paper examines aggregate savings in a general equilibrium model where infinitely lived households face volatile (and possibly uncertain) income paths, hold a risk-free asset, and face a liquidity constraint. I first show that the equilibrium capital stock in an economy without uncertainty,...

Persistent link: https://www.econbiz.de/10002679474

Endogenous timing of investments yields modified Stackelberg outcomes

Bergman, Mats A. - 1998

Persistent link: https://www.econbiz.de/10000995011

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