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A Note on Sorting Bias Correction in Regression-Based Mutual Fund Tournament Tests
Karoui, Aymen - 2019
methodologies that have been used to test this hypothesis are flawed because they are affected by a bias that results from sorting … used in the literature are affected by this sorting bias. We demonstrate that simply including the standard deviation over … the first half of the year in regression-based tests corrects for most of the bias and is as suitable to control for the …
Persistent link: https://www.econbiz.de/10012904701
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Is Local Bias a Cross-Border Phenomenon? Evidence from Individual Investors’ International Asset Allocation
Baltzer, Markus - 2014
stocks (local bias). We hypothesize that individual investors' local bias is not limited to the domestic sphere but instead … also determines their international investment decisions. Our results confirm the presence of a cross-border local bias … a significantly lower foreign investment bias towards investment opportunities in that country and that this drop in …
Persistent link: https://www.econbiz.de/10013064735
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Is local bias a cross-border phenomenon? : evidence from individual investors’ international asset allocation
Baltzer, Markus; Stolper, Oscar; Walter, Andreas - 2013
stocks (local bias). We hypothesize that individual investors’ local bias is not limited to the domestic sphere but instead … also determines their international investment decisions. Our results confirm the presence of a cross-border local bias … display a significantly lower foreign investment bias towards investment opportunities in that country and (ii) that this drop …
Persistent link: https://www.econbiz.de/10009740268
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Is Local Bias a Cross-Border Phenomenon? Evidence from Individual Investors' International Asset Allocation
Baltzer, Markus - 2016
stocks (local bias). We hypothesize that individual investors' local bias is not limited to the domestic sphere but instead … also determines their international investment decisions. Our results confirm the presence of a cross-border local bias … display a significantly lower foreign investment bias towards investment opportunities in that country and (ii) that this drop …
Persistent link: https://www.econbiz.de/10012988780
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Dynamic Asset Allocation Based on Valuation and Momentum Applied to a Global All-Equity Portfolio
White, James - 2020
There has been considerable research into dynamic global tactical asset allocation (GTAA) strategies driven by simple measures of Valuation and Momentum applied to a baseline balanced portfolio of equities and fixed income (see Blitz and van Vliet 2008, Wang and Kochard 2011, Gnedenko and Yelnik...
Persistent link: https://www.econbiz.de/10012838940
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The Impact of Risk and Return Perceptions on the Portfolio Reallocation Decisions of Mutual Fund Investors
Ederington, Louis H. - 2010
To explore how portfolio allocations among equities, fixed income securities, and cash are impacted by investors' risk and return expectations, this paper explores portfolio reallocations among equity, bond, and money market mutual funds. As predicted by the literature on optimal portfolio...
Persistent link: https://www.econbiz.de/10013146812
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The Impact of Risk and Return Perceptions on the Portfolio Reallocation Decisions of Mutual Fund Investors
Ederington, Louis H. - 2010
To explore how portfolio allocations among equities, fixed income securities, and cash are impacted by investors' risk and return expectations, this paper explores portfolio reallocations among equity, bond, and money market mutual funds. As predicted by the literature on optimal portfolio...
Persistent link: https://www.econbiz.de/10013146813
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Do Mutual Fund Ratings Provide Valuable Information for Retail Investors? Empirical Evidence on Ratings Non-Persistence and the Risk of Mutual Fund Closure
Oehler, Andreas - 2019
Purpose: Retail investors use information provided by mutual fund rating agencies to make investment decisions. This paper examines whether the ratings provide useful information to retail investors by analyzing the rating migration and closure risk of mutual funds that received Morningstar's...
Persistent link: https://www.econbiz.de/10012895877
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Payout Yields and Stock Return Predictability : How Important is the Measure of Cash Flow?
Eaton, Gregory W. - 2017
We compare the stock return forecasting performance of alternative payout yields. The net payout yield produces more accurate forecasts relative to alternatives, including the traditional dividend yield. This remains true even after excluding several years during the Great Depression when...
Persistent link: https://www.econbiz.de/10012973823
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When investors call for climate responsibility, how do mutual funds respond?
Ceccarelli, Marco; Ramelli, Stefano; Wagner, Alexander F. - 2019
We show that mutual funds compete for climate-conscious investment flows. In April 2018, Morningstar introduced a climate-focused label for mutual funds. The release of the "Low Carbon Designation" induced reactions on both the demand and supply sides of the market. First, investors flocked to...
Persistent link: https://www.econbiz.de/10012003131