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Fund Manager Skill in an Era of Globalization : Offshore Concentration and Mutual Fund Performance
Bai, John (Jianqiu) - 2020
.S. multinational firms. The proposed offshore concentration index (OCI) is distinct from existing measures of investment skills. More …
Persistent link: https://www.econbiz.de/10012840722
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Theorie der Investition unter Risiko und Martkfriktionen: Zwei Anwendungen
Trepl, Stefanie - 2011
Persistent link: https://www.econbiz.de/10009564628
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Where have all the alphas gone? : a meta-analysis of hedge fund performance
Yang, Fan; Havránek, Tomáš; Havránková, Zuzana; … - 2024
We examine the factors influencing published estimates of hedge fund performance. Using a sample of 1,019 intercept terms from regressions of hedge fund returns on risk factors (the "alphas") collected from 74 studies, we document a strong downward trend in the reported alphas. The trend...
Persistent link: https://www.econbiz.de/10014521048
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Skill and Fees in Active Management
Stambaugh, Robert F. - 2019
Greater skill of active investment managers can mean less fee revenue in a general equilibrium. Although more-skilled managers earn more revenue than less-skilled managers, greater skill for active managers overall can imply less revenue for their industry. Greater skill allows managers to...
Persistent link: https://www.econbiz.de/10012479976
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Active managers are skilled
Berk, Jonathan B.; Binsbergen, Jules H. van - 2015
Active fund managers are skilled and, on average, have used their skill to generate about $3.2 million per year. Large cross-sectional differences in skill persist for as long as ten years. Investors recognize this skill and reward it by investing more capital in funds managed by better...
Persistent link: https://www.econbiz.de/10011862190
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Unsustainable employment portfolios
Buchanan, John; Dymski, Gary Arthur; Froud, Julie; … - In: Work, employment & society : a journal of the British … 27 (2013) 3, pp. 396-413
Persistent link: https://www.econbiz.de/10009772614
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On the persistence of selectivity and market timing skills in hedge funds
Muteba Mwamba, John - In: International business and economics research journal 12 (2013) 12, pp. 1575-1587
Persistent link: https://www.econbiz.de/10010248962
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Student portfolios and the college admissions problem
Chade, Hector; Lewis, Gregory; Smith, Lones - In: The review of economic studies 81 (2014) 3, pp. 971-1002
Persistent link: https://www.econbiz.de/10010485038
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The Market Timing Skills of Long/Short Equity Hedge Fund Managers
Li, Xin - 2013
Good market timing skills can be an important factor contributing to hedge funds' out-performance. In this paper we use … 10% significance level, 17.12% of funds exhibit good linear timing skills and 21.32% of funds possess some level of good … nonlinear market timing skills. Further, we find that market timing strategies of hedge funds are different in good and bad …
Persistent link: https://www.econbiz.de/10013086460
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Testing Sharpe Ratio : Luck or Skill?
Benhamou, Eric - 2019
Sharpe ratio (sometimes also referred to as information ratio) is widely used in asset management to compare and benchmark funds and asset managers. It computes the ratio of the (excess) net return over the strategy standard deviation. However, the elements to compute the Sharpe ratio, namely,...
Persistent link: https://www.econbiz.de/10012870027