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Asset pricing test using alternative sets of portfolios: evidence from India

Das, Sudipta - In: Asia-Pacific financial markets 26 (2019) 3, pp. 339-354

Persistent link: https://www.econbiz.de/10012309665

Factor exposure variation and mutual fund performance

Ammann, Manuel; Fischer, Sebastian; Weigert, Florian - 2020 - This version: August 2020

We investigate the relationship between a mutual fund's variation in factor exposures and its future performance. Using a dynamic state space version of Carhart (1997)'s four factor model to capture factor variation, we find that funds with volatile factor exposures underperform funds with...

Persistent link: https://www.econbiz.de/10012264676

Size, value and momentum in stock returns : evidence from India

Das, Sudipta; Barai, Parama - In: Macroeconomics and finance in emerging market economies 9 (2016) 1/3, pp. 284-302

Persistent link: https://www.econbiz.de/10011583841

Attribution of hedge fund returns using a Kalman filter

Thomson, Daniel; Van Vuuren, Gary - In: Applied economics 50 (2018) 9, pp. 1043-1058

Persistent link: https://www.econbiz.de/10011848239

Risk factor exposure variation and mutual fund performance

Ammann, Manuel; Fischer, Sebastian; Weigert, Florian - 2018

We investigate the relationship between a mutual fund’s variation in systematic risk factor exposures and its future performance. Using a dynamic state space version of Carhart (1997)’s four factor model to capture risk factor variation, we find that funds with volatile risk factor exposures...

Persistent link: https://www.econbiz.de/10011906504