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"Benchmarking" the benchmarks : how do risk-adjusted returns of Australian mutual funds and indexes measure up?
Costa, Bruce A.; Jakob, Keith; Niblock, Scott J.; … - In: The journal of asset management 16 (2015) 6, pp. 386-400
Persistent link: https://www.econbiz.de/10011416630
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Equity fund performance : can momentum be explained by the pricing of idiosyncratic volatility?
Liu, Bin; Di Iorio, Amalia; De Silva, Ashton - In: Studies in economics and finance 33 (2016) 3, pp. 359-376
Persistent link: https://www.econbiz.de/10011722529
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Alpha Generation in Portfolio Management : Long-Run Australian Equity Fund Evidence
Bennett, Scott - 2013
This study provides the first long-run analysis of the skill of active Australian equity fund managers based on trades inferred from a market-wide database of monthly portfolio holdings over the period 1994-2009. In addition to confirming previous findings that skill exists amongst active...
Persistent link: https://www.econbiz.de/10013090332
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The performance of overconfident fund managers
Chow, Edward H.; Lin, Hsiao-Mei; Lin, Yo-Min; Weng, Yin-Che - In: Emerging markets finance & trade : a journal of the … 47 (2011) 2, pp. 21-30
Persistent link: https://www.econbiz.de/10009313088
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Measuring the mutual fund industry risk management and performance sustainability : quantile regression model
Lee, Joe-ming - 2013
We apply the Quantile Regression Model to observe the rankcorrelation between bond fund performance and asset,volatility, management fee, Sharpe index and show that fundperformance between volatility as a negative significantrelationship, implied extreme values have been generated...
Persistent link: https://www.econbiz.de/10009776201
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Evidence from business strategy of mutual fund managers after the financial crisis : panel smooth transition regression model
Lee, Joe-ming - 2013
This study applies by the panel transition regression (PSTR) model to investigate the nonlinear dynamic relationship between equity fund flow and investment volatility in Taiwan. Our empirical results show that the equity fund managers will be different business strategy under the volatility...
Persistent link: https://www.econbiz.de/10009776209
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Ex-Post Analyse von Anlageempfehlungen
Elsenhuber, Ulrike Barbara - 2003
Persistent link: https://www.econbiz.de/10001793218
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Selektionskriterien beim Investment in aktive US-Aktienfonds
Weber, Sebastian - 2008 - 1. Aufl.
um die Persistenz von Fondsrenditen. Zur Analyse wird ein Sample bestehend aus aktiven US-Aktienfonds von Morningstar … US-Aktienfonds entwickelt, die als style-resistent angesehen werden können. Zwei Effekte können isoliert betrachtet … Rendite-Risiko-Verhältnisse für ein Portfolio bestehend aus Aktienfonds. Anderseits zeigt sich die unterschiedliche …
Persistent link: https://www.econbiz.de/10003722764
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Selektionskriterien beim Investment in aktive US-Aktienfonds
Weber, Sebastian (contributor) - 2008
Wesen von US-Aktienfonds -- Theoretische Grundlagen der Performanceanalyse -- Entwicklung eines Faktormodells für US-Aktienfonds … -- Survivorship Bias in US-Aktienfonds -- Ansätze zur Bestimmung von Selektionskriterien -- Schlussbetrachtung. … Anlageentscheidungen, gerade bei Investmentfonds, zu einem wesentlichen Teil auf der Analyse von Vergangenheitsdaten. Sebastian Weber …
Persistent link: https://www.econbiz.de/10013516977