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Mutual Fund Flows and Performance in Rational Markets

Berk, Jonathan B. - 2002

We develop a simple rational model of active portfolio management that provides a natural benchmark against which to … consistent with this simple explanation. In the model, investments with active managers do not outperform passive benchmarks … management. Consequently, past performance cannot be used to predict future returns, or to infer the average skill level of …

Persistent link: https://www.econbiz.de/10012469434

Conditioning Manager Alphas on Economic Information : Another Look at the Persistence of Performance

Christopherson, Jon A. - 1996

This paper evaluates persistence in the performance of institutional equity managers. We build on recent work on conditional performance evaluation, using time-varying conditional expected returns and risk measures. We find evidence that the investment performance of pension fund managers...

Persistent link: https://www.econbiz.de/10012472998

Investor Sentiment and the Closed-End Fund Puzzle

Lee, Charles - 1990

individual investor sentiment toward closed end funds and other securities. The theory implies that discounts on various funds …

Persistent link: https://www.econbiz.de/10012475562

Risk, Mispricing, and Asset Allocation : Conditioning on Dividend Yield

Shanken, Jay - 2001

In the asset pricing literature, time-variation in market expected excess return captured by financial ratios like dividend yield is typically viewed as a reflection of either changing risk, related to the business cycle, or irrational mispricing. Extending the work on asset allocation and...

Persistent link: https://www.econbiz.de/10012470049

Maximizing Predictability in the Stock and Bond Markets

Lo, Andrew W. - 1995

We construct portfolios of stocks and of bonds that are maximally predictable with respect to a set of ex ante observable economic variables, and show that these levels of predictability are statistically significant, even after controlling for data-snooping biases. We disaggregate the sources...

Persistent link: https://www.econbiz.de/10012473866

Sources of Risk and Expected Returns in Global Equity Markets

Ferson, Wayne E. - 1994

This paper empirically examines multifactor asset pricing models for the returns and expected returns on eighteen national equity markets. The factors are chosen to measure global economic risks. Although previous studies do not reject the unconditional mean- variance efficiency of a world...

Persistent link: https://www.econbiz.de/10012474312

Speculative Dynamics

Cutler, David M. - 1990

This paper presents evidence on the characteristic speculative dynamics of a wide range of asset returns. It highlights three stylized facts. First, returns tend to be positively serially correlated at high frequency. Second, returns tend to be negatively serially correlated over long horizons....

Persistent link: https://www.econbiz.de/10012475795

When are Contrarian Profits Due to Stock Market Overreaction?

Lo, Andrew W. - 1989

The profitability of contrarian investment strategies need not be the result of stock market overreaction. Even if returns on individual securities are temporally independent, portfolio strategies that attempt to exploit return reversals may still earn positive expected profits. This is due to...

Persistent link: https://www.econbiz.de/10012476071

The Shorting Premium and Asset Pricing Anomalies

Drechsler, Itamar - 2014

Short-rebate fees are a strong predictor of the cross-section of stock returns, both gross and net of fees. We document a large "shorting premium": the cheap-minus-expensive-to-short (CME) portfolio of stocks has a monthly average gross return of 1.43%, a net return of 0.91%, and a 1.53%...

Persistent link: https://www.econbiz.de/10012458384

Time-Varying Fund Manager Skill

Kacperczyk, Marcin - 2011

Mutual fund managers can outperform the market by picking stocks or timing the market successfully. Previous work has estimated picking and timing skill, assuming that each manager is endowed with a fixed amount of each and found some evidence of picking skills and little evidence of timing...

Persistent link: https://www.econbiz.de/10012461042

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