techniques, the paper provides evidence in the sense that the rate of return and the employed population are the main …

return (measured by Jensen’s alpha) and risk (beta) for mutual funds. While only some fund managers publish biographic …

efficiency perspective. A consistent return in excess of the benchmark is demonstrated over different time horizons and in … the excess return, and their relationship is modelled as a Markov switching process of two market regimes. We find that … the entire ‘abnormal return’ is associated with the high volatility regime, so the presence of a latent risk factor cannot …