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We distinguish between ”good” and ”bad” carry trades constructed from G-10 currencies. The good trades exhibit higher Sharpe ratios and sometimes positive return skewness, in contrast to the bad trades that have both substantially lower Sharpe ratios and highly negative return skewness....
Persistent link: https://www.econbiz.de/10012937298
We empirically analyze the nature of returns to scale in active mutual fund management. We find strong evidence of … that avoid econometric biases are insignificant. We also find that the active management industry has become more skilled …
Persistent link: https://www.econbiz.de/10012856954