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Quantitative Measures of Operational Risk : An Application to Funds Management
Brown, Stephen J. - 2012
Basel II defines operational risk as the risk of direct or indirect loss resulting from inadequate or failed internal processes people or systems or from external events. In the past decade there have appeared a number of quantitative approaches to measuring this risk, approaches that abstract...
Persistent link: https://www.econbiz.de/10013108941
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Morningstar Mutual Fund Measures and Selection Model
Haslem, John A. - 2019
First, this study reviews Morningstar analytical grading measures used by investors to choose mutual funds. These measures include Morningstar star ratings, analyst ratings, total pillar ratings, upside and downside capture ratios, and stewardship ratings. Second, the study provides results of...
Persistent link: https://www.econbiz.de/10012904797
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Morningstar Mutual Fund Measures and Selection Model
Haslem, John A. - 2017
First, this study reviews Morningstar analytical grading measures used by investors to choose mutual funds. These measures include Morningstar Star Ratings, Analyst Ratings, Total Pillar Ratings, Upside and Downside Capture Ratios, and Stewardship Ratings. Second, the study provides results of...
Persistent link: https://www.econbiz.de/10012974385
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Measuring Skill in the Mutual Fund Industry
Berk, Jonathan - 2020
Using the value that a mutual fund extracts from capital markets as the measure of skill, we find that the average mutual fund has used this skill to generate about $3.2 million per year. We document large cross-sectional differences in skill that persist for as long as 10 years. We further...
Persistent link: https://www.econbiz.de/10012857281
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Measuring Luck in Mutual Fund Performance : Evidence from False Discovery Ratio Method
Tang, Ya; Liu, YU-Jane; Yang, Yi - 2011
This paper studies the real mutual fund performance accounting for the presences of lucky funds. We quantify the impact of luck with an innovative measure built on False Discovery Rate (FDR). These FDR measures compute the number and the proportion of fund with truly positive and negative...
Persistent link: https://www.econbiz.de/10014176700
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Mutual Fund Flow Scale : A Multi-Item Scale For Measuring Perception of Mutual Fund Investors
Sharma, Dr. Pooja Chaturvedi - 2022
With an ever-increasing amount of information related to the stock market or various investment avenues, misperception or no perception regarding mutual funds is becoming a norm for investors and marketers. To date no perception measuring scale has been developed for mutual fund investors, to...
Persistent link: https://www.econbiz.de/10013491669
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Volatility connectedness of bank stocks across the Atlantic
Yılmaz, Kamil - 2014
This paper presents an analysis of the dynamic measures of volatility connectedness of major bank stocks in the US and the EU member countries. The results show that in the early stages of the US financial crisis in 2007 and 2008, the direction of the volatility connectedness was from the US...
Persistent link: https://www.econbiz.de/10010239322
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Measuring Competition in Slovenian Industries : Estimation of Mark-ups
Molnár, Margit - 2010
Product market regulation on average is Slovenia does not appear particularly stringent, but heavy state involvement and high market concentration in several industries call for the gauging of competitive pressures in Slovenian industries. Owing to such characteristics, more sophisticated...
Persistent link: https://www.econbiz.de/10012447036
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A new measure of firm-level competition : an application to euro area banks
Leuvensteijn, Michiel van; Huljak, Ivan; Bondt, Gabe J. de - 2024
This paper extends Boone (2008) by introducing a competition measure at the individual firm level rather than for an … and measures competition vis-à-vis other market participants. We apply this extended Boone indicator to individual bank …-level competition in the loan market in the four largest euro area countries and Austria. The MRP distribution is skewed to the left and …
Persistent link: https://www.econbiz.de/10014526654
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Bank Competition : Measurement, Decision-Making, and Risk-Taking
Bushman, Robert M. - 2016
This paper investigates whether greater competition increases or decreases individual bank and banking system risk …. Using a new text-based measure of competition, and an instrumental variables analysis that exploits exogenous variation in … bank deregulation, we provide robust evidence that greater competition increases both individual bank risk and a bank …
Persistent link: https://www.econbiz.de/10013006246