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The cost of diversification over time, and a simple way to improve target-date funds

Levy, Haim; Levy, Moshe - In: Journal of banking & finance 122 (2021), pp. 1-16

Persistent link: https://www.econbiz.de/10012659656

Cash-Flow Timing vs. Discount-Rate Timing : An Examination of Mutual Fund Market-Timing Skills

Lan, Chunhua - 2019

We measure the ability of professional investment managers in timing cashflow vs. discount-rate news, the two components of market returns. We find that the average U.S. equity mutual fund exhibits cashflow-timing skills of 2.12/year, but discount-rate timing of -0.84/year; further,...

Persistent link: https://www.econbiz.de/10012903952

Market Timing Around the World

Vidal, Marta - 2019

This paper challenges existing studies of mutual fund market timing that find little evidence of timing ability. Using a sample of daily returns for 35 countries, we find that more than a third of mutual funds show significantly positive market timing ability across all countries. We show that...

Persistent link: https://www.econbiz.de/10012904756

Strategic Timing in Closed-End Fund Portfolio Holdings Disclosure

Kallenos, Theodosis L. - 2020

Using a sample of equity closed-end funds, we document significant portfolio holdings disclosure valuation effects and strategic disclosure timing by portfolio managers. An event study analysis reveals statistically significant positive (negative) abnormal returns associated with early (late)...

Persistent link: https://www.econbiz.de/10012849982

The market-timing ability of Chinese equity securities investment funds

Sherman, Meadhbh; O'Sullivan, Niall; Gao, Jun - In: International Journal of Financial Studies : open … 5 (2017) 4, pp. 1-18

funds do not time the market. This conclusion is robust when controlling for publicly available information in evaluating …

Persistent link: https://www.econbiz.de/10011760210

Diversification in Funds of Hedge Funds : Is it Possible to Overdiversify?

Brown, Stephen J. - 2011

(FOFs). In this paper we examine a new database that separates out for the first time the effects of diversification (the … variance reducing effects of diversification peter out once FOFs hold more than 20 underlying hedge funds. Yet the majority of … FOFs are more diversified than this. We find a new and surprising result that this excess diversification actually …

Persistent link: https://www.econbiz.de/10013134528

Diversification Strategies and the Performance of Funds of Hedge Funds

Dai, Na - 2019

Funds of hedge funds are diversified investment vehicles that provide investors with diversification either across …

Persistent link: https://www.econbiz.de/10012905988

Unveiling outperformance : a portfolio analysis of top ai-related stocks against IT indices and robotics ETFs

Karoui, Ali Trabelsi; Sayari, Sonia; Dammak, Wael; … - In: Risks : open access journal 12 (2024) 3, pp. 1-21

In this study, we delve into the financial market to compare the performance of prominent AI and robotics-related stocks against traditional IT indices, such as the Nasdaq, and specialized AI and robotics ETFs. We evaluate the role of these stocks in diversifying portfolios, analyzing their...

Persistent link: https://www.econbiz.de/10014497423

Can mutual fund managers time commonality in stock market misvaluation?

Zheng, Yao; Osmer, Eric; Zheng, Liancun - In: Journal of economics & business 117 (2021), pp. 1-23

Persistent link: https://www.econbiz.de/10012807403

Volatility timing in CPF investment funds in Singapore : do they outperform non-CPF funds?

Shen, Xiaoyi; Tsui, Albert K.; Zhang, Zhaoyong - In: Risks : open access journal 7 (2019) 4/106, pp. 1-16

The purpose of this study is to examine the volatility-timing performance of Singapore-based funds under the Central Provident Fund (CPF) Investment Scheme and non-CPF linked funds by taking into account the currency risk effect on internationally managed funds. In particular, we empirically...

Persistent link: https://www.econbiz.de/10012127925

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