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Investment strategies, fund performance and portfolio characteristics

Engström, Stefan - 2004

degree of diversification within the fund portfolio. However, diversification by including non-listed stocks does not enhance …

Persistent link: https://www.econbiz.de/10010281200

Purchase and redemption decisions of mutual fund investors and the role of fund families

Jank, Stephan; Wedow, Michael - 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/10010300703

Purchase and redemption decisions of mutual fund investors and the role of fund families

Jank, Stephan; Wedow, Michael - 2010

Persistent link: https://www.econbiz.de/10010302545

Investing into microfinance investment funds

Janda, Karel; Svárovská, Barbora - 2009

opportunity for the portfolio diversification as this asset class does not show any positive correlation with global or emerging …

Persistent link: https://www.econbiz.de/10010322191

Passive investment strategies and financial bubbles

Fischer, Thomas - 2012

In this paper, a model of bounded rational investors investing their portfolio in a passive investment vehicle (e.g., an Exchange Traded Fund replicating a broad index) or an actively managed fund is presented. The model proposes that the quick reswitching of these short-term oriented investors...

Persistent link: https://www.econbiz.de/10010323727

Asset class diversification and delegation of responsibilities between central banks and sovereign wealth funds

Aizenman, Joshua; Glick, Reuven - 2010

This paper presents a model comparing the optimal degree of asset class diversification abroad by a central bank and a …. We also show how the diversification differences between the strategies of the bank and SWF is affected by the government …

Persistent link: https://www.econbiz.de/10010333067

Imperfect predictability and mutual fund dynamics. How managers use predictors in changing systematic risk.

Amisano, Gianni; Savona, Roberto - 2008

Suppose a fund manager uses predictors in changing port-folio allocations over time. How does predictability translate into portfolio decisions? To answer this question we derive a new model within the Bayesian framework, where managers are assumed to modulate the systematic risk in part by...

Persistent link: https://www.econbiz.de/10011604927

Evaluating Greek equity funds using Data Envelopment Analysis

Babalos, Vassilios; Caporale, Guglielmo Maria; … - 2009

This study assesses the relative performance of Greek equity funds employing a non-parametric method, specifically Data Envelopment Analysis (DEA). Using an original sample of cost and operational attributes we explore the effect of each variable on funds' operational efficiency for an...

Persistent link: https://www.econbiz.de/10010271154

What's in your 403(b)? Academic retirement plans and the costs of underdiversification

Angus, John; Brown, William O.; Smith, Janet Kiholm; … - 2005

opportunity losses are economically significant. Depending on loss-aversion, and diversification constraints, over a forty … even unsophisticated investors. TIAA-CREF equity funds offer little meaningful diversification and are no less risky than … the alternative index funds. Even when a naïve diversification strategy of equally-weighting (1/n) all available funds is …

Persistent link: https://www.econbiz.de/10010276762

Mutual fund transparency and corporate myopia

Agarwal, Vikas; Vashishtha, Rahul; Venkatachalam, Mohan - 2017

Pressure from institutional money managers to generate profits in the short run is often blamed for corporate myopia. Theoretical research suggests that money managers' short term focus stems from their career concerns and greater fund transparency can amplify these concerns. Using a...

Persistent link: https://www.econbiz.de/10011714893