The main purpose of the study is to reveal how accurate Sharpe's style analysis model is in the context of the analysis of funds of hedge funds. Therefore, we analyse the influence of the three parameters of a style analysis model, which are defined by the user: the number of indices which are...

In this paper, we estimate the behavioral component of the Grinblatt and Han (2002) model and derive several testable implications about the expected relationship between the preponderance of disposition-prone investors in a market and volume, volatility and stock returns. To do this, we use a...