Das erste Paper behandelt den Survivorship Bias bei Aktienfonds. Dieser stellt eine systematische Überschätzung der Performance dar, die entsteht wenn in der Fondsgruppe nur die „Überlebenden“ berücksichtigt werden. Dies ist seit Grinblatt und Titman (1989) bekannt und seitdem in vielen...

In this analysis of investment manager performance, two questions are addressed. First, do managers that actively trade stocks create value for investors? Second, can the multifactor model of Gruber capture the cross-section of average fund returns for the Australian setting? The answers from...

The weekend effect is described as the tendency for Monday security returns to be low (or negative) compared to other days of the week. The weekend effect may not be exploited by trading individual stocks because of transactions costs. However, the institutional characteristics of the US-based...

The first essay of this dissertation investigates the relationship between downside risk andreturns of real estate investment trusts (REITs) and assesses the performance of real estatemutual funds (REMFs). We measure the asymmetric risk through downside and upside betas andthrough the measures...

In two unrelated papers, we examine different aspects of mutual fund performance and otherissues. In the first chapter, we look at exchange-traded funds (ETFs) and how they differ fromindex funds in performance and tracking error. Using daily data and a more comprehensivesample than past...

This study attempts to determine the degree to which the state of the macroeconomy can be used to create a mutual fund investment strategy that consistently outperforms the S&P 500. By quantifying how systematic economic factors affect the relative performance of different fund strategies...

Three Essays on Stock Market SeasonalityHyung-Suk Choi136 pagesDirected by Dr. Cheol S. EunIn chapter 1, we examine seasonality in returns to style portfolios, which serve as important benchmarks for asset allocation, and investigate its implications for investment. In doing so, we consider...

The first essay examines how board structure affects manager dismissal decisions in mutual funds. We first find some evidence suggesting that the likelihood of managerial replacement is higher when fund boards are more independent and receive lower levels of compensation. Manager turnover is...

Based on previous evidence that there are information heterogeneities in capital markets, three essays including empirical frameworks for examining the information processes that impact portfolio investments and corporate investments was proposed. The first essay considers information channels...

Actors often leave in pursuit of new ventures, even though entrepreneurial opportunities may exist inside the firm. While a bulk of work has focused on understanding the determinants of entrepreneurial transition (e.g., Aldrich and Ruef, 2006; Dobrev and Barnett, 2005; Robinson and Sexton, 1994; Sørensen,...