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Fund flows inducing mispricing of risk in competitive financial markets
Stahmer, Axel - 2015
This paper studies the effect of new fund flows on investment behavior and the resulting equilibrium price of risk. The Small Fund Industry model shows equilibria with overinvestment in unprofitable and underinvestment in profitable investment opportunities. The Large Fund Industry model derives...
Persistent link: https://www.econbiz.de/10011389297
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Zweistufige Performancemessung im Portfolio Management : ein Konzept zur Messung und Attribution von Anleger- und Managementeinflüssen
Rehkugler, Heinz; Schmidt- von Rhein, Andreas; Roth, Hanno - 1997 - 2., durchges. und korrigierte Aufl
Persistent link: https://www.econbiz.de/10000954218
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Revisiting the Fama and French model: an application to funds of funds using nonlinear methods
Dubé, Eric; Gignac, Clément; Racicot, François-Éric - In: Funds of hedge funds : performance, assessment, …, (pp. 287-307). 2006
Persistent link: https://www.econbiz.de/10003377788
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Look-ahead benchmark bias in portfolio performance evaluation
Daniel, Gilles; Sornette, Didier; Wöhrmann, Peter - In: The journal of portfolio management : a publication of … 36 (2009/10) 1, pp. 121-130
Persistent link: https://www.econbiz.de/10003909602
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Three essays on asset pricing anomalies, investor overreaction, and mutual fund performance
Zhang, Hong - 2004
Persistent link: https://www.econbiz.de/10003551684
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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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A performance evaluation model for global macro funds
Zaremba, Adam - In: International journal of finance & banking studies : JJFBS 3 (2014) 1, pp. 161-172
Persistent link: https://www.econbiz.de/10010532770
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The performance of socially responsible investment funds and exchange-traded funds : evidence from Johannesburg stock exchange
Marozva, Godfrey - In: Corporate ownership & control : international … 11 (2013/14) 4, pp. 143-152
Persistent link: https://www.econbiz.de/10011338945
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Comparative analysis of risk, return and diversification of mutual fund
Ahmad, Rais; Nomani, Abuzar - In: Journal of economics and business research 21 (2015) 1, pp. 69-83
Persistent link: https://www.econbiz.de/10011313293
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Mutual fund's net economic alpha : definition and evidence
Garyn-Tal, Sharon; Lauterbach, Beni - In: Journal of investment management : JOIM 11 (2013) 2, pp. 73-91
Persistent link: https://www.econbiz.de/10009763908