Showing 1 - 10 of 1,450
There is now extensive empirical evidence showing that fund managers have relative performance objectives and adapt their investment strategy in the last part of the calendar year to their performance in the early part of the year. However, emphasis was put on returns in excess of some exogenous...
Persistent link: https://www.econbiz.de/10001529019
This paper provides a detailed examination of individuals' active participation in a new public and mandatory defined contribution pension system. The new pension system was launched in the fall of 2000 and entitles Sweden's workforce of 4.4 million individuals to invest part of their individual...
Persistent link: https://www.econbiz.de/10001753272
This paper examines how investor and capital flows into mutual funds in the Swedish pension system are related to fund characteristics. Similarly to U.S. studies, we show that individuals chase past returns and have a strong preference for lower-fee funds. However, our results suggest that past...
Persistent link: https://www.econbiz.de/10001979838
This paper studies the relation between fund performance and the fund manager's investment strategy, which is based on the characteristics of the portfolio. The results show that neither momentum characteristics nor the valuation of stocks can explain differences in fund performance. However,...
Persistent link: https://www.econbiz.de/10001946185
The last financial crisis sheds dramatically light on the instability threatened by systemic risk. In this regard no common view appears to exist on the definition, the measurement and real impact on financial system. This paper aims to analyze the relation between systemic risk and portfolio...
Persistent link: https://www.econbiz.de/10014180183
This study examines the phenomenon of performance persistence of equity funds in Hungary in two time perspectives: 1-year and 6-month perspectives. The empirical results confirm the occurrence of performance dependence in consecutive periods. There is also a strong evidence of short-term...
Persistent link: https://www.econbiz.de/10014181214
Target-Date Funds (TDFs) are popular retirement investment vehicles that follow a predetermined schedule for rebalancing their mix of equity and fixed-income securities over time. We explore potential agency problems in TDFs by examining their return performance and their flow-performance...
Persistent link: https://www.econbiz.de/10014183128
This paper examines the factors that affect inflows – outflows of capital in bond mutual funds that operated in the Greek market during the period 1997-2005. Investors in bond mutual funds do not seek for high gross returns in order to determine their investment decisions in contrast with...
Persistent link: https://www.econbiz.de/10014183622
We propose a new approach for measuring mutual fund style and constructing characteristic-matched performance benchmarks that requires only portfolio holdings and two reference portfolios in each style dimension. The characteristic-matched performance benchmark literature typically follows a...
Persistent link: https://www.econbiz.de/10014045064
The current paper searches for the existence of various types of seasonal patterns in returns of Greek equity mutual funds during the period 2002-2005. At first, the paper reveals that the lowest day-of-the-week returns of funds occur on Monday and that the highest average returns relate to...
Persistent link: https://www.econbiz.de/10014050605