Showing 1 - 10 of 55
Nach §44 Investmentgesetz (InvG) sind Investmentfonds verpflichtet, im Rahmen ihres regelmäßigen Berichtswesens den Anlegern zumindest halbjährlich ihre Portfoliozusammensetzung bekannt zu geben. Häufigere oder auch detailliertere Portfolioveröffentlichung erhöht die Trans parenz des...
Persistent link: https://www.econbiz.de/10005854234
More and more investors apply socially responsible screens whenbuilding their stock portfolios. This raises the question whether theseinvestors can increase their performance by incorporating such screensinto their investment process. To answer this question we implement asimple trading strategy...
Persistent link: https://www.econbiz.de/10005855887
More and more investors apply socially responsible screens when building their stock portfolios. This raises the question whether these investors can increase their performance by incorporating such screens into their investment process. To answer this question we implement a simple trading...
Persistent link: https://www.econbiz.de/10010308677
relativ robust ist gegenüberSchätzfehlern der zur Erwartungswert-Varianz-Optimierung notwendigen Parameter(erwartete Renditen …
Persistent link: https://www.econbiz.de/10005844933
This paper investigates the role of birth order on managerial behavior using rich data on familial background of US mutual fund managers. We find that managers who are born later in the sibling hierarchy take on more investment risks relative to first-born managers, but perform worse. Motivated...
Persistent link: https://www.econbiz.de/10013471818
Derivatives strategies that aim to earn variance risk premiums are exposed to sharp price declines during market crises, calling into question their suitability for the longterm investor. Our paper defines, analyzes, and proposes potential solutions to three problems (payoff, leverage and finite...
Persistent link: https://www.econbiz.de/10014420677
We examine if extreme weather exposure impacts firms' cost of equity. Motivated by a consumption-based asset pricing model with heterogeneous agents, we reveal the existence of an extreme weather risk premium in the cross-section of stock returns. In the period from 1995 to 2019, domestic U.S....
Persistent link: https://www.econbiz.de/10014456421
Mutual fund families are increasingly assigning traders to manage corporate bond mutual funds. Using this setting to study the role of traders in investment management, we document that trader managers identify and exploit short-term trading opportunities at lower transaction costs. These skills...
Persistent link: https://www.econbiz.de/10014470145
We test the frequently made claim that SRI funds are conventional funds in disguise. For this purpose, we compare the portfolio holdings of SRI funds to conventional funds concerning their social and environmental standards. Our empirical study of US equity funds shows that SRI funds have a...
Persistent link: https://www.econbiz.de/10010308678
Expected returns can hardly be estimated from time series data. Therefore, many recent papers suggest investing in the global minimum variance portfolio. The weights of this portfolio depend only on the return variances and covariances, but not on the expected returns. The weights of the global...
Persistent link: https://www.econbiz.de/10010308682