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result of SLR and extensive bibliometric analysis. Contextualized systematic literature review is used to screen and select … study utilizes the most pertinent tools for conducting a systematic review by the PRISMA framework. This article is the … bibliographic data, which is then subjected to a variety of bibliometric analyses. The study provides a bibliometric overview of …
Persistent link: https://www.econbiz.de/10015327870
While much is known about the financialization of commodities, less is known about how to profitably invest in commodities. We develop a four-factor asset pricing model of commodity returns. Our four-factor model prices both commodity spot and term risk premia in an intuitive manner related to...
Persistent link: https://www.econbiz.de/10012969828
benchmarks, and demonstrate how heterogeneous benchmarking generates a mechanism through which fundamental shocks propagate … across assets. Fluctuations in asset managers' capital invested for benchmarking purposes, scaled by the size of the economy … these benchmarking-induced spillovers by analyzing shock elasticities and cross-elasticities of price-dividend ratios, and …
Persistent link: https://www.econbiz.de/10012910534
The market for passive ETFs and passive ETF benchmarks has exploded in the past decade. ETF sponsors get index … find that benchmark and index provider characteristics are relevant for sponsors and investors. ETF benchmarks from large …
Persistent link: https://www.econbiz.de/10013403471
This manuscript presents a case study of EU Paris Aligned Benchmark (PAB) implementation across different asset classes in a Swedish state pension fund AP2. Three significant contributions are made. First, the manuscript introduces a notion of Absolutely Sustainable Investing based on the EU...
Persistent link: https://www.econbiz.de/10013406633
In this article, we analyze the possibility to do well, while doing good from a passive portfolio management strategy. In this analysis, we distinguish the regions Europe and the US and refer to the stock price data of composites from the most important indices in these regions. Based on these,...
Persistent link: https://www.econbiz.de/10012868906
Academic and practitioner research evaluates portfolio performance using size and value/growth attributes or factors. We assess the merits of popular evaluation procedures based on matched-characteristic benchmark portfolios or time-series return regressions by applying them to a sample of...
Persistent link: https://www.econbiz.de/10013149936
This study re-visits the question of benchmark mismatch among 1281 US equity mutual funds and its impact on benchmark-adjusted fund performance and ranking. All funds report S&P500 index as a prospectus benchmark, yet 2/3 of those are placed in the Morningstar category with risk and objectives...
Persistent link: https://www.econbiz.de/10012950444
We question the appropriateness of using time-invariant indices as benchmarks and propose a regime-switching methodology to identify the time-varying de facto benchmarks from a pool of the market-based indices, with or without a risk-free asset. We highlight the benchmark mismatch phenomenon and...
Persistent link: https://www.econbiz.de/10012847754
There is still no consensus regarding a generally accepted factor model to assess risk-adjusted hedge fund performance. In this paper, we compare three alternative factor models: the widely used Fung and Hsieh (2004) seven-factor model, a recently proposed extension to an eight-factor model, and...
Persistent link: https://www.econbiz.de/10013094343