Mutual fund investors are concerned with the selection of the best fund in terms of performance among the set of alternative funds. This paper proposes an innovative mutual funds performance evaluation measure in the context of multicriteria decision making. We implement a multicriteria...

Insurance Industry is going through a very important stage of its transformation - the transition from the classical system of management into a risk-based management. These changes were launched in Europe by international organizations which deal with the development of the necessary...

Evidence suggests that arbitragers exchange investment ideas. We analyze why and under what circumstances sharing occurs. Our model suggests that sharing ideas will lead to the following: more efficient asset prices, larger arbitrager profits, and correlated arbitrager returns. We predict that...

This paper analyses the intraday co-movements between returns on several commodity markets and on the stock market in the United States over the 1997-2011 period. By exploiting a new high frequency database, we compute various rolling correlations at (i) 1-hour, (ii) 5-minute, (iii) 10-second,...

This study establishes a multi-tier framework to evaluate how fund manager characteristics systematically affect mutual fund performance. The framework includes three tiers of performance elements: 1) comprehensive performance, 2) return and risk, and 3) timing skill and picking ability. Using...

This study establishes a multi-tier framework to evaluate how fund manager characteristics systematically affect mutual fund performance. The framework includes three tiers of performance elements: 1) comprehensive performance, 2) return and risk, and 3) timing skill and picking ability. Using...

The objective of this paper is to examine and analyze empirically whether the Central and Eastern Europe countries` reformed pension systems are providing adequate and safe pensions. Starting in 1990s, most Central and Eastern European countries radically reformed their pension systems. The...

This study examines the dynamics of the relationship between institutional investment flow and stock returns for India using daily data over the period of 1st Jan 2002 to 31st July 2012. The analysis has been conducted in a two and three factors vector autoregression framework in which we...

This paper investigates the growth effects of financial integration and financial deepening in selected SSA economies, using a panel dataset of 10 SSA countries from 1970-2012. We use ratio of net FDI inflow to GDP (proxy for financial integration), ratio of gross capital formation to GDP (proxy...

In this study, we provide new evidence on the performance measurement and reporting of commercial real estate returns. We do so by examining the accuracy of commercial-real-estate appraisals that occurred prior to the sale of properties from the NCREIF National Property Index (“NPI”) during...