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Equity fund flows and stock market returns in the US before and after the global financial crisis : a VAR-GARCH-in-mean Analysis

Babalos, Vassilios; Caporale, Guglielmo Maria; … - 2016

post-September 2008 period. There are also volatility spillovers from stock market returns to equity fund flows both before …

Persistent link: https://www.econbiz.de/10011482859

Equity fund flows and stock market returns in the US before and after the global financial crisis : a VAR-GARCH-in-mean analysis

Babalos, Vassilios; Caporale, Guglielmo Maria; … - 2016

post-September 2008 period. There are also volatility spillovers from stock market returns to equity fund flows both before …

Persistent link: https://www.econbiz.de/10011479824

Volatility vs. Tail Risk : Which One is Compensated in Equity Funds?

Xiong, James X. - 2014

Research that has led to what is known as the “low volatility anomaly” in cross-sectional stocks from a similar … universe indicates that volatility is not compensated with a “volatility” premium. We find evidence of a risk premium, but it … what investors care about the most. We investigated several risk measures, including volatility and tail risk, and found …

Persistent link: https://www.econbiz.de/10013063797

Using Risk Factors to Understand Long/Short Equity Mutual Fund Returns

Clark, Andrew - 2014

-to-value ratio, dividend yield, and volatility. The explanatory strength of these factors is so strong that in most cases adding an …

Persistent link: https://www.econbiz.de/10013057772

UK Equity Mutual Fund Alphas Make a Comeback

B. Mateus, Irina - 2016

In this study we re-visit the performance of 887 active UK equity mutual funds using a new approach proposed by Angelidis, Giamouridis and Tessaromatis (2013). The authors argue that mutual funds stock selection is driven by the benchmark index, so if the benchmark generates alpha, there will be...

Persistent link: https://www.econbiz.de/10013001539

Tax-Efficient Asset Management : Evidence from Equity Mutual Funds

Sialm, Clemens - 2019

We investigate the relation between tax burdens and mutual fund performance from both a theoretical and an empirical perspective. The theoretical model introduces heterogeneous tax clienteles in an environment with decreasing returns to scale and shows that the equilibrium performance of mutual...

Persistent link: https://www.econbiz.de/10012905091

Determinants of Home Bias : Evidence From European Equity Funds

Maier, Moritz - 2019

This paper analyzes determinants of home bias in equity funds based on monthly holdings data using panel and quantile regressions. We investigate 699 equity funds, domiciled in fifteen European countries, that broadly invested in European stocks from January 2003 to December 2016. More than...

Persistent link: https://www.econbiz.de/10012890440

Purchase and Redemption Decisions of Mutual Fund Investors and the Role of Fund Families

Jank, Stephan - 2010

This paper investigates the purchases and redemptions of a large cross-sectional sample of German equity funds. We find that investors punish bad performance by selling their shares, but also have a tendency to sell winners. Investors in large fund families show higher sales and redemption...

Persistent link: https://www.econbiz.de/10013141827

Do Fund Managers Keep Their Promises? : The Case of Shari’ah Equity Funds

Nainggolan, Yunieta - 2012

This paper examines the compliance of a large sample of faith-based ethical funds – Shari'ah equity funds (SEFs). SEFs screen their investment for compliance with Islamic law, where riba (conventional interest expense), maysir (gambling), gharar (excessive uncertainty), and non-halal...

Persistent link: https://www.econbiz.de/10013114041

Prospecting for Alpha : Equity Fund Performance, Flows and the Mining Boom in Australia

Ainsworth, Andrew - 2014

Industry performance is a key component of the top-down approach to investment management. The recent boom in the stock prices of mining companies in Australia affords an opportunity to examine whether equity funds are able to capture industry outperformance. Funds with a higher exposure to the...

Persistent link: https://www.econbiz.de/10013058830