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Small-cap equity mutual fund managers as liquidity providers

Shawky, Hany A.; Tian, Jianbo - In: Journal of empirical finance 18 (2011) 5, pp. 802-814

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Liquidity risk and the performance of UK mutual funds

Foran, Jason; O'Sullivan, Niall - In: International review of financial analysis 35 (2014), pp. 178-189

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A new family of equity style indices and mutual fund performance : do liquidity and idiosyncratic risk matter?

Wagner, Niklas F.; Winter, Elisabeth - In: Journal of empirical finance 21 (2013), pp. 69-85

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Do mutual fund managers time market liquidity?

Cao, Charles Q.; Simin, Timothy T.; Wang, Ying - In: Journal of financial markets 16 (2013) 2, pp. 279-307

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Equity style indices and liquidity in Europe

Winter, Elisabeth - 2014

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Do liquidity and idiosyncratic risk matter? : evidence from the European mutual fund market

Vidal-García, Javier; Vidal, Marta; Nguyen, Duc Khuong - In: Review of quantitative finance and accounting 47 (2016) 2, pp. 213-247

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Mutual fund liquidity timing ability in the higher moment framework

Wattanatorn, Woraphon; Chaiyuth Padungsaksawasdi; … - In: Research in international business and finance 51 (2020), pp. 1-13

Persistent link: https://www.econbiz.de/10012208255

Mutual fund skill in timing market volatility and liquidity

Foran, Jason; O'Sullivan, Niall - In: International journal of finance & economics : IJFE 22 (2017) 4, pp. 257-273

Persistent link: https://www.econbiz.de/10011960315

A new family of equity style indices and mutual fund performance: Do liquidity and idiosyncratic risk matter?

Wagner, Niklas; Winter, Elisabeth - In: Journal of Empirical Finance 21 (2013) C, pp. 69-85

We propose and test novel multifactor models of daily mutual fund performance. To this aim, we set up equity style indices and derive risk factors, which nest the established Fama and French (1992) and Carhart (1997) factors. We add two additional risk factors, namely idiosyncratic risk and...

Persistent link: https://www.econbiz.de/10011042104