Showing 1 - 10 of 10,673
This study provides formal theoretical evidence that constructions of fund alpha that are implemented using robust specifications of asset pricing models generate alpha estimates that are well defined. Regardless, the formal theoretical model shows fund alphas that are constructed with the...
Persistent link: https://www.econbiz.de/10012897319
Persistent link: https://www.econbiz.de/10012798461
Why do investors entrust active mutual fund managers with large sums of money while receiving negative excess returns … on average? Our explanation is that investors have a coarser information set than fund managers which leads them to … systematically misinterpret managers' skill. When investors are unable to correctly quantify risk because they have no knowledge of …
Persistent link: https://www.econbiz.de/10011590851
Persistent link: https://www.econbiz.de/10014548375
Persistent link: https://www.econbiz.de/10014234560
Actively managed mutual funds exhibit heterogeneous and time-varying returns to fund and industry scale. When a fund starts out, it exhibits increasing returns to scale (IRS) to industry size and decreasing returns to scale (DRS) to fund size. As funds get older and larger, industry size IRS...
Persistent link: https://www.econbiz.de/10013312410
Persistent link: https://www.econbiz.de/10001595077
Persistent link: https://www.econbiz.de/10012659665
Persistent link: https://www.econbiz.de/10014419525
This paper uses stochastic dominance techniques to examine whether managerial skills vary across fund managers in …
Persistent link: https://www.econbiz.de/10013128954