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On Market Timing, Stock Picking, and Managerial Skills of Mutual Fund Managers with Manipulation-Proof Performance Measure
Qian, Meifen - 2014
The on-going debate over whether fund managers have skills and whether those skills are short-lived is still … literature in two folds. First, managers ranked highest on MPPM in the current quarter earn largest fee-adjusted fund returns in … the following quarter. Those managers hold younger, smaller, lower book-to-market, and momentum stocks. Second, taking …
Persistent link: https://www.econbiz.de/10013057175
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Distribution, aggregate demand and productivity growth : theory and empirical results for six OECD countries based on a post-Kaleckian model
Hein, Eckhard; Tarassow, Artur - 2008
Empirical research based on the Bhaduri/Marglin-variant of the Kaleckian model has recently shown that aggregate demand in many medium-sized and large open economies tends to be wage-led in the medium to long run, even in a period of increasing globalisation. In this paper we extend this type of...
Persistent link: https://www.econbiz.de/10003772369
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Kimball's prudence and two-fund separation as determinants of mutual fund performance evaluation
Breuer, Wolfgang; Gürtler, Marc - 2005 - This Version: 2007-03-15
We consider investors with mean-variance-skewness preferences who aim at selecting one out of F different funds and combining it optimally with the riskless asset and direct stock holdings. Direct stock holdings are either exogenously or endogenously determined. In our theoretical section, we...
Persistent link: https://www.econbiz.de/10009486445
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The stable long-run CAPM and the cross-section of expected returns
Kurz-Kim, Jeong-Ryeol - 2002
The capital-asset-pricing model (CAPM) is one of the most popular methods of financial market analysis. But, evidence … of the poor empirical performance of the CAPM has accumulated in the literature. For example, based on their empirical … results regarding the relation between market Beta and average return, Fama and French (1996) conclude that the CAPM is no …
Persistent link: https://www.econbiz.de/10011431316
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One-factor-Garch models for German stocks : estimation and forecasting
Kaiser, Thomas - 1996
This paper presents theoretical models and their empirical results for the return and variance dynamics of German stocks. A factor structure is used in order to allow for a parsimonious modeling of the first two moments of returns. Dynamic factor models with GARCH dynamics (GARCH(1,1)-M,...
Persistent link: https://www.econbiz.de/10010407100
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The Stable Long-Run CAPM and the Cross-Section of Expected Returns
Kim, Jeong-Ryeol - 2016
The capital-asset-pricing model (CAPM) is one of the most popular methods ofDas Capital-Asset-Pricing-Modell (CAPM) ist …
Persistent link: https://www.econbiz.de/10012991283
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Asset returns, the business cycle, and the labor market : a sensitivity analysis for the German economy
Heer, Burkhard; Maußner, Alfred - 2011
premium is very sensitive with regard to the utility parameters. -- equity premium ; production CAPM ; real-business cycle …
Persistent link: https://www.econbiz.de/10009011127
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Recursive portfolio selection with decision trees
Andriyashin, Anton (contributor);  … - 2008
A great proportion of stock dynamics can be explained using publicly available information. The relationship between dynamics and public information may be of nonlinear character. In this paper we offer an approach to stock picking by employing so-called decision trees and applying them to XETRA...
Persistent link: https://www.econbiz.de/10003636039
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The term structure of bond market liquidity conditional on the economic environment : an analysis of government guaranteed bonds
Schuster, Philipp; Uhrig-Homburg, Marliese - 2012
We analyze the term structure of illiquidity premiums as the difference between the yield curves of two major bond segments that are both government guaranteed but differ in their liquidity. We show that its characteristics strongly depend on the economic situation. In crisis times, illiquidity...
Persistent link: https://www.econbiz.de/10009667173
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Dynamic Copula Modelling for Value at Risk
Fantazzini, Dean - 2011
This paper proposes dynamic copula and marginals functions to model the joint distribution of risk factor returns affecting portfolios profit and loss distribution over a specified holding period. By using copulas, we can separate the marginal distributions from the dependence structure and...
Persistent link: https://www.econbiz.de/10013133960