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The nexus between Information Communication Technology (ICT) and stock market development has been predominantly based on studies of the developed markets and high-income economies of the world. The objective of this study was to examine the causal relationship between ICT adoption and stock...
Persistent link: https://www.econbiz.de/10012799415
This paper examines the value relevance of accounting fundamentals in the Mexican Stock Market ([BMV] - Bolsa Mexicana de Valores). The research question that motivated the paper was: Can accounting fundamentals provide relevant information to better understand firm value? More specifically, the...
Persistent link: https://www.econbiz.de/10011872378
We show that Chinese actively managed stock mutual funds persistently exhibit a preference for growth stocks over value stocks, despite the fact that value stocks outperform growth stocks on average. Moreover, funds with a growth tilt do not under-perform their value-oriented peer funds. To...
Persistent link: https://www.econbiz.de/10012915752
Equity markets fail to account for value-relevant non-public information enjoyed by syndicated loan participants and reflected in publicly-posted loan prices. A long-short strategy that buys (sells) the equities of firms whose loans have recently appreciated (depreciated) earns large...
Persistent link: https://www.econbiz.de/10012902660
Trillions of dollars are invested through index funds, exchange-traded funds, and other index derivatives. The benefits of index-linked investing are well-known, but the possible broader economic consequences are unstudied. I review research which suggests that index-linked investing is...
Persistent link: https://www.econbiz.de/10013138775
This paper implements strategies that use macroeconomic variables to select European equity mutual funds, including Pan-European, country, and sector funds. We find that several macro variables are useful in locating funds with future outperformance, and that country-specific mutual funds...
Persistent link: https://www.econbiz.de/10013115042
Using the herding measures of Lakonishok, Shleifer and Vishny (1992) (LSV) and Frey, Herbst and Walter (2007) (FHW), we assess herding by French equity mutual funds between 1999 and 2005. We show that LSV herding amounts to 6.5% while FHW herding is about 2.5 times stronger. We observe that...
Persistent link: https://www.econbiz.de/10013117956
This stochastic simulation analysis examines the risk characteristics of target-date funds focusing on the trade-offs between wealth creation and security. The dynamic portfolio adjustment of marketed target-date funds, with varied asset allocations, along age and various time horizons is shown....
Persistent link: https://www.econbiz.de/10013158197
This paper implements strategies that use macroeconomic variables to select European equity mutual funds, including Pan-European, country, and sector funds. We find that several macro-variables are useful in locating funds with future outperformance, and that countryspecific mutual funds provide...
Persistent link: https://www.econbiz.de/10009705491
In this paper, we show that the way in which fund managers are compensated can, under plausible conditions, lead them to act in a way that does not maximise the wellbeing of their clients. Due to performance bonuses in fund managers' rewards, there is a highly non-linear relationship between the...
Persistent link: https://www.econbiz.de/10013403270