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An examination of ex ante fund performance : identifying indicators of future performance
Clare, Andrew D.; Clare, Mariana - In: The journal of asset management 20 (2019) 3, pp. 175-195
Persistent link: https://www.econbiz.de/10012059790
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Low-β investing with mutual funds
Nanigian, David - In: Financial services review : the journal of individual … 23 (2014) 4, pp. 361-383
Persistent link: https://www.econbiz.de/10011392044
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Seasonality and idiosyncratic risk in mutual fund performance
Vidal-García, Javier; Vidal, Marta - In: European journal of operational research : EJOR 233 (2014) 3, pp. 613-624
Persistent link: https://www.econbiz.de/10010228218
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Idiosyncratic risk and mutual fund performance
Vidal-García, Javier; Vidal, Marta; Boubaker, Sabri; … - In: Decision making and risk/return optimization in …, (pp. 349-372). 2019
Persistent link: https://www.econbiz.de/10012135878
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The volatility of mutual fund performance
Livingston, Miles; Yao, Ping; Zhou, Lei - In: Journal of economics & business 104 (2019), pp. 1-19
Persistent link: https://www.econbiz.de/10012596474
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Overnight return momentum : evidence from European markets
Dor, Arik Ben; Zeng, Xiaming - In: The journal of portfolio management : JPM 47 (2021) 7, pp. 46-62
Persistent link: https://www.econbiz.de/10012613226
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Drawdown risk in mutual funds performance
Kumaran, Sunitha - In: Journal of finance and investment analysis 2 (2013) 2, pp. 89-106
benchmarks use the lower partial moment as a risk measure. The lower partial moment, however, doesn’t entirely describe the panic …
Persistent link: https://www.econbiz.de/10009746020
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Equity fund performance : can momentum be explained by the pricing of idiosyncratic volatility?
Liu, Bin; Di Iorio, Amalia; De Silva, Ashton - In: Studies in economics and finance 33 (2016) 3, pp. 359-376
Persistent link: https://www.econbiz.de/10011722529
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Do performance measures matter for stock mutual funds? : an international analysis
Durán Santomil, Pablo; Lombardero Fernández, Pablo … - In: International journal of emerging markets 19 (2024) 7, pp. 1860-1878
Persistent link: https://www.econbiz.de/10014575643
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Measuring Luck in Mutual Fund Performance : Evidence from False Discovery Ratio Method
Tang, Ya; Liu, YU-Jane; Yang, Yi - 2011
This paper studies the real mutual fund performance accounting for the presences of lucky funds. We quantify the impact of luck with an innovative measure built on False Discovery Rate (FDR). These FDR measures compute the number and the proportion of fund with truly positive and negative...
Persistent link: https://www.econbiz.de/10014176700