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Mutual Fund Flows and Performance in Rational Markets
Green, Richard C. - 2004
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/10012786156
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Investor Sentiment and the Closed-End Fund Puzzle
Lee, Charles - 2011
individual investor sentiment toward closed end funds and other securities. The theory implies that discounts on various funds …
Persistent link: https://www.econbiz.de/10012756869
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Risk, Mispricing, and Asset Allocation : Conditioning on Dividend Yield
Shanken, Jay A. - 2010
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/10012763077
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Sources of Risk and Expected Returns in Global Equity Markets
Ferson, Wayne E. - 2010
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/10012763466
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Maximizing Predictability in the Stock and Bond Markets
Lo, Andrew W. - 2010
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/10012763656
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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/10013050316
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Speculative Dynamics
Cutler, David M.; Poterba, James M.; Summers, Lawrence H. - 2021
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/10013228632
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Time-Varying Fund Manager Skill
Kacperczyk, Marcin T. - 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/10013118131
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Hedge Funds with Style
Brown, Stephen J. - 2001
period 1989 through to January 2000 and find that there are in fact a number of distinct styles of management. We find that … conclude that appropriate style analysis and style management are crucial to success for investors looking to invest in this …
Persistent link: https://www.econbiz.de/10012787775
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Dumb Money : Mutual Fund Flows and the Cross-Section of Stock Returns
Frazzini, Andrea - 2010
We use mutual fund flows as a measure for individual investor sentiment for different stocks, and find that high sentiment predicts low future returns at long horizons. Fund flows are dumb money %uF818 by reallocating across different mutual funds, retail investors reduce their wealth in the...
Persistent link: https://www.econbiz.de/10012762427