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The forecasting ability of world mutual funds
Rodríguez, Javier - In: Studies in economics and finance 31 (2014) 2, pp. 130-140
Persistent link: https://www.econbiz.de/10011336790
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Can fund sentiment beta predict future performance?
Bu, Qiang; Stalebrink, Odd J. - In: The journal of asset management 21 (2020) 6, pp. 524-534
Persistent link: https://www.econbiz.de/10012298723
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Analyst Forecasts and European Mutual Fund Trading
Franck, Alexander - 2013
forecast revisions as forecast measures but, additionally, focus on implied return revisions, based on target prices … forecast measures increases (decreases) within the quarter prior to the observation period. Further results show that mutual … fund managers primarily attribute high information value to consensus forecast revisions that contain positive information …
Persistent link: https://www.econbiz.de/10013090451
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Buy Low, Sell High? Do Private Equity Fund Managers Have Market Timing Abilities?
Jenkinson, Tim - 2020
When investors commit capital to a private equity fund, the money is not immediately invested but is called by the fund manager throughout an investment period of up to five years. This business model allows private equity fund managers to invest the committed capital at their own discretion,...
Persistent link: https://www.econbiz.de/10012852570
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The Irrelevance of ESG Disclosure to Retail Investors : Evidence from Robinhood
Moss, Austin - 2020
Using an hourly dataset on retail investor security positions from Robinhood Markets, we find that ESG disclosures are irrelevant to retail investors' portfolio allocation decisions. The response to ESG press releases by retail investors is no different than the routine portfolio adjustments...
Persistent link: https://www.econbiz.de/10012833604
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Broad Is the New Narrow : How Passive Investing Creates Concentrated Portfolios
Institute, Brandes - 2015
Passive investing, particularly in emerging markets, has become an increasingly popular means of quick, “diversified” exposure to a particular segment of the markets. Flows into passive emerging market products have been so strong that assets in exchange-traded funds (ETFs) designed to...
Persistent link: https://www.econbiz.de/10013010019
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Can Machine Learning Help to Select Portfolios of Mutual Funds?
DeMiguel, Victor; Gil-Bazo, Javier; Nogales, Francisco J.; … - 2021
Identifying outperforming mutual funds ex-ante is a notoriously difficult task. We use machine learning to exploit fund characteristics and construct portfolios of equity funds that earn positive and significant out-of-sample alpha net of all costs. In contrast, alphas of portfolios selected...
Persistent link: https://www.econbiz.de/10013239736
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The informational feedback effect of stock prices on management forecasts
Zuo, Luo - In: Journal of accounting & economics 61 (2016) 2/3, pp. 391-413
Persistent link: https://www.econbiz.de/10011498040
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Mutual fund flows, expected returns, and the real economy
Jank, Stephan - 2011 - First draft: December 4, 2010, This draft: February 7, 2011
The paper explores whether the co-movement of market returns and equity fund flows can be explained by a common response to macroeconomic news. I find that variables that predict the real economy as well as the equity premium are related to mutual fund flows. Changes in dividend-price ratio...
Persistent link: https://www.econbiz.de/10008902922
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Performance of International and Global Equity Mutual Funds : Do Country Momentum and Sector Momentum Matter?
Breloer, Bernhard - 2014
This is the first paper analyzing the impact of index momentum factors on the performance of international and global equity funds. Extending an international, index-based version of the Fama and French (1993) three-factor model by adding the factors of country momentum and sector momentum, we...
Persistent link: https://www.econbiz.de/10013067838