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False discoveries in the performance of Australian managed funds
Kim, Sangbae; In, Francis Haeuck; Ji, Philip Inyeob; … - In: Pacific-Basin finance journal 26 (2014), pp. 244-256
Persistent link: https://www.econbiz.de/10010498736
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Volatility of aggregate volatility and hedge funds returns
Agarwal, Vikas; Arisoy, Y. Eser; Naik, Narayan Y. - 2015
performance of hedge funds both in the cross-section and over time. We measure uncertainty about volatility of the market …-taking incentives arising from performance-based compensation of hedge funds. …
Persistent link: https://www.econbiz.de/10011310183
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Who creates and who bears flow externalities in mutual funds?
Fricke, Daniel; Jank, Stephan; Wilke, Hannes - 2022
investor groups contribute to the negative performance externality from large outflows. Investment funds, as holders of mutual …-sophisticated ones, are the main receivers. These differences are due to investment funds reacting more strongly on past performance and …
Persistent link: https://www.econbiz.de/10013446637
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Portfolio choice and the effects of liquidity
González, Ana; Rubio, Gonzalo - In: SERIEs - Journal of the Spanish Economic Association 2 (2011) 1, pp. 53-74
obtain strong effects of liquidity on optimal portfolio selection. In particular, portfolio performance, measured by the … for liquidity, the performance of optimal portfolios is relatively more favorable. However, it is also the case that …
Persistent link: https://www.econbiz.de/10010317124
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Volatility of aggregate volatility and hedge funds returns
Agarwal, Vikas; Arisoy, Yakup Eser; Naik, Narayan Y. - 2015 - This version: June 7, 2015
performance of hedge funds both in the cross-section and over time. We measure uncertainty about volatility of the market …-taking incentives arising from performance-based compensation of hedge funds. …
Persistent link: https://www.econbiz.de/10011308590
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Volatility of aggregate volatility and hedge funds returns
Agarwal, Vikas; Arisoy, Yakup Eser; Naik, Narayan Y. - 2015 - This version: January 31, 2015
the performance of hedge funds both in the cross-section and over time. We measure uncertainty via volatility of aggregate …
Persistent link: https://www.econbiz.de/10010485488
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Descriptive analysis of Finnish equity, bond and money market returns
Nyberg, Peter; Vaihekoski, Mika - Suomen Pankki - 2011
This paper gathers the longest available historical monthly return series for the Finnish equity, bond and money markets as well as inflation. The series are analysed to calculate the statistical characteristics of the returns investors would have received in these markets. We also survey...
Persistent link: https://www.econbiz.de/10009643485
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Portfolio choice and the effects of liquidity
González, Ana; Rubio, Gonzalo - Department of Economics and Business, Universitat … - 2007
. In particular, portfolio performance, measured by the Sharpe ratio relative to the tangency portfolio, varies … significantly with liquidity. Moreover, although mean-variance performance becomes clearly worse, the levels of liquidity on optimal …
Persistent link: https://www.econbiz.de/10005707977
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Who creates and who bears flow externalities in mutual funds?
Fricke, Daniel; Jank, Stephan; Wilke, Hannes - 2022
investor groups contribute to the negative performance externality from large outflows. Investment funds, as holders of mutual …-sophisticated ones, are the main receivers. These differences are due to investment funds reacting more strongly on past performance and …
Persistent link: https://www.econbiz.de/10013435221
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False discoveries in mutual fund performance: Measuring luck in estimated alphas
Barras, Laurent; Scaillet, Olivier; Wermers, Russ - 2009
ability to find funds with persistent performance. …
Persistent link: https://www.econbiz.de/10010308687