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Index Funds, Asset Prices, and the Welfare of Investors
Schmalz, Martin C.; Zame, William R. - 2023
We present a general equilibrium model in which heterogeneous investors choose among bonds, stocks, and an Index Fund holding the market portfolio. We show that, under standard assumptions, an equilibrium exists. We then derive predictions for equilibrium asset prices, investor behavior, and...
Persistent link: https://www.econbiz.de/10014255122
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Actively Managed Mutual Funds Holding Passive Investments : What Do ETF Positions Tell Us About Mutual Fund Ability?
Sherrill, Eli - 2017
holding ETF positions and AMMF performance, as well as indirect measures of performance, including market timing, flow … management, and cash holdings. We find that over one-third of AMMFs take an ETF position between 2004 and 2015. Our results … hold ETFs in small amounts have similar characteristics to non-user AMMFs. Therefore, the act of holding an ETF does not …
Persistent link: https://www.econbiz.de/10012970338
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Hedge fund investment in ETFs
Cumming, Douglas J.; Monteiro, Pedro - 2023 - This Draft: January 31, 2023
likely to invest in ETFs. Unexpected hedge fund inflows cause a rise in ETF investments, and the economic significance of … unexpected flow is more than twice as large for transient than quasi-indexer hedge funds. ETF investment is in general associated … with lower hedge fund performance. But when ETF investment is accompanied by an increase in total flow and unexpected flow …
Persistent link: https://www.econbiz.de/10013555545
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Unleveraged portfolios and pure allocation return
Alemanni, Barbara; Maggi, Mario Alessandro; Uberti, … - In: Journal of risk and financial management : JRFM 14 (2021) 11, pp. 1-11
proposing to take long positions on “short assets” (e.g. inverse ETF), thereby considering short positions as active investment …
Persistent link: https://www.econbiz.de/10012795929
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CAPITALIST MANIFESTO : How Index Funds Work, Why Ordinary Investors Should Invest in Index Funds, and What to Expect from Index Fund Managers
Booth, Richard A. - 2022
The proposition that a prudent investor should be diversified is widely accepted if not incontrovertible for ordinary investors – investors who have no reasonable expectation of influencing company management or business policy. Indeed, fiduciary duty requires that trustees and other...
Persistent link: https://www.econbiz.de/10013298149
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Emerging market analysis of passive and active investing under bear and bull market conditions
Gopane, Thabo J.; Moyo, Noel T.; Setaka, Lesego F. - In: Journal of capital markets studies 8 (2024) 1, pp. 6-24
Purpose Stirred by scant regard for market phases in portfolio performance assessments, the current paper investigates the active versus passive investment strategies under the bull and bear market conditions in emerging markets focusing on South Africa as a case study....
Persistent link: https://www.econbiz.de/10015047531
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The active world of passive investing
Easley, David; Michayluk, David; O'Hara, Maureen; … - In: Review of finance : journal of the European Finance … 25 (2021) 5, pp. 1433-1471
Persistent link: https://www.econbiz.de/10012655107
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Representative Investors Versus Best Clienteles : Performance Evaluation Disagreement in Mutual Funds
Chrétien, Stéphane - 2017
This paper develops a diagnostic tool for candidate performance measures that accounts for investor disagreement in mutual funds. We compare the evaluation for best clienteles, specified by an upper admissible performance bound, to the one for representative investors implicit in twelve models....
Persistent link: https://www.econbiz.de/10012955300
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The effect of socially responsible investing on portfolio performance
Kempf, Alexander; Osthoff, Peer - 2007 - First Version: September 2005, This Version: May 2007
More and more investors apply socially responsible screens when building their stock portfolios. This raises the question whether these investors can increase their performance by incorporating such screens into their investment process. To answer this question we implement a simple trading...
Persistent link: https://www.econbiz.de/10009525983