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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
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Towards a general theory of bond markets
Björk, Tomas; DiMasi, Giovanni; Kabanov, Jurij M.; … - 1996
Persistent link: https://www.econbiz.de/10000955624
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Bond markets where prices are driven by a general marked point process
Björk, Tomas; Kabanov, Jurij M.; Runggaldier, Wolfgang J. - 1995
Persistent link: https://www.econbiz.de/10000928616
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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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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
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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 the characteristics of the portfolio. The results show that neither momentum characteristics nor the valuation of stocks can explain differences in fund performance. However,...
Persistent link: https://www.econbiz.de/10001946185
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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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International portofolio diversification and the foreign exchanges risk premium
Nessén, Marianne - 1994
Persistent link: https://www.econbiz.de/10000902160
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Trade unions, employee share ownership and wage setting : a supply-side approach to the share economy
Renström, Thomas I.; Roszbach, Kasper - 1995
Persistent link: https://www.econbiz.de/10000917357
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General quadratic term structures of bond, futures and forward prices
Gaspar, Raquel M. (contributor) - 2004 - [Elektronische Ressource]
the existence of these general quadratic term structures for bond, futures and forward prices. As forward prices are … martingales under the T-forward measure, their term structure equation depends on properties of bond prices' term structure. We … exploit the connection with the bond prices term structure and show that even in quadratic short rate settings we can have …
Persistent link: https://www.econbiz.de/10001991041