Showing 1 - 10 of 52
We present evidence of the impact of buy-side analysts on the behavior and performance of fund managers. Using data provided by a large global asset manager, we relate buy-side analysts' recommendations to fund transactions on a daily basis. Our results show that buy-side analysts have a...
Persistent link: https://www.econbiz.de/10008666522
This paper introduces two measures to investigate potential window-dressing behavior among mutual fund managers. We show that unskilled managers that perform poorly are more likely to window dress by strategically purchasing winner stocks and selling loser stocks near quarter ends. Further,...
Persistent link: https://www.econbiz.de/10008992003
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/10009524818
Persistent link: https://www.econbiz.de/10009524823
This paper develops a simple technique that controls for "false discoveries", or mutual funds that exhibit significant alphas by luck alone. Our approach precisely separates funds into (1) unskilled, (2) zero-alpha, and (3) skilled funds, even with dependencies in cross-fund estimated alphas. We...
Persistent link: https://www.econbiz.de/10009525174
Recently there has been a rapid growth in the assets managed by "hedged mutual funds" - mutual funds mimicking hedge funds strategies. In this paper, we examine the performance of these funds relative to hedge funds and traditional mutual funds. We find that despite their use of similar trading...
Persistent link: https://www.econbiz.de/10009525975
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/10009525983
Mutual fund investors are supposed to make long-term investments instead of striving for quick fortunes. However, the dynamics of funds' ability to generate abnormal returns over their lifetime is still an unattended issue. This paper provides evidence on the liability of newness and liability...
Persistent link: https://www.econbiz.de/10011300267
This paper proposes several new holdings-based measures of fund investment horizon, and examines the relation between manager skills and fund holding horizon. We find that both aggregate holdings and trades of long-horizon funds are informative about superior future long-term stock returns,...
Persistent link: https://www.econbiz.de/10011307799
Hedge fund flows chase alpha, yet they also follow returns attributable to traditional and exotic risk exposures. Investors appear more cognizant of exotic risks over time, with flows increasing their relative emphasis on returns from exotic betas in recent years. Investors also discriminate...
Persistent link: https://www.econbiz.de/10011308029