Purpose – The purpose of this paper is to examine market concentration, economies of scale, economies of scope, and the relative size of a particular fund, within a fund family, as determinants of mutual‐fund expense ratio. This examination is focused at the asset‐manager level and is...

The relationship between trustees of pension funds and investment managers has been well recognised in invest mentmanagement practice but studies of trust relationship between them are few. This study explores trustworthiness of investment managers as an important factor for trustees in building...

Purpose – The purpose of this paper is to introduce a non-normality premium (NNP) to identify the extra return that will compensate an investor for a non-normal return distribution. The NNP quantifies the economic significance of non-normality to complement a statistical significance test of...

Purpose – The purpose of this paper is to examine operating characteristics, risk and performance measures of all available vehicles for index investing in US bond funds during the 15-year period from April, 1994 to March, 2009. The results shed light on the important issue of bond index...

PPurpose – The purpose of paper is to provide students with a sorting methodology to select securities and build portfolios. Design/methodology/approach – This paper uses various accounting variables for all firms in the S&P 500, sorted by sector. The fundamental metrics are converted into...

Purpose – The purpose of this study is to develop an investment strategy designed both to enable student-managed investment fund (SMIF) students to more quickly build out their portfolio at the beginning of the academic year and to give them some exposure to quantitative approaches to...

Purpose – The purpose of this paper is to investigate green exchange-traded funds (ETFs) and propose a market-wide proxy for green returns and a green volatility factor. Design/methodology/approach – Identifying a unique sample of green funds, this paper investigates the time-series behavior...

Purpose -The purpose of this paper is to examine the value of active fund management using a sample of hybrid mutual funds. Design/methodology/approach - Instead of using traditional risk-adjusted measures, the paper employs an alternative attribution return methodology where the actual monthly...

Purpose –To examine the rationale for the investment principles adopted by faith-based funds from a biblical perspective and to evaluate the performance of faith-based ethical funds. Design/methodology/approach - A multi-factor Carhart model is applied to examine the risk-adjusted financial...

Purpose – The purpose of this paper is to examine how board compensation and holdings are related to mutual fund expense ratios. Previous studies find that compensation and expense ratios are positively correlated and argue that this relationship is potential evidence of rent sharing, whereby...