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Time-Varying Risk Aversion in the Cross-Section of Mutual Fund Flows
Straehl, Philip U. - 2012
Analyzing cross sectional determinants of fund flows, this study finds evidence that investors' risk aversion is time …-aversion and consequently risk premia are time-varying, providing a risk-based explanation for phenomena such as long-run stock …
Persistent link: https://www.econbiz.de/10013102085
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When Risk and Return are Not Enough : The Role of Loss Aversion in Private Investors' Choice of Mutual Fund Fee Structures
Ehm, Christian - 2014
performance fees even though these funds may be more expensive. According to agency theory, performance fees could incentivize … Prospect Theory preferences can help explain the emergence of certain financial products beyond other "classical" explanations …
Persistent link: https://www.econbiz.de/10013064139
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Robust return efficiency and herding behavior of fund managers
Lu, Shuai; Li, Shouwei; Chen, Ning - In: Finance research letters 46 (2022) 1, pp. 1-12
Persistent link: https://www.econbiz.de/10013341311
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Beta dispersion and market timing
Kuntz, Laura-Chloé - In: Journal of empirical finance 59 (2020), pp. 235-256
Persistent link: https://www.econbiz.de/10012437978
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Beta dispersion and market timing
Kuntz, Laura-Chloé - 2020
The beta dispersion, which is the spread of betas on a stock market, can be interpreted as a measure of market vulnerability. This study examines the economic idea of the beta dispersion and its application as a market return predictor. Based on the empirical beta dispersion observed in the US...
Persistent link: https://www.econbiz.de/10012264452
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Idiosyncratic risk and mutual fund performance
Vidal-García, Javier; Vidal, Marta; Boubaker, Sabri; … - In: Decision making and risk/return optimization in …, (pp. 349-372). 2019
Persistent link: https://www.econbiz.de/10012135878
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A timing momentum strategy
Lin, Chaonan; Yang, Nien-Tzu; Chou, Robin K.; Ko, Kuan-Cheng - In: Accounting and finance 62 (2022), pp. 1339-1379
Persistent link: https://www.econbiz.de/10013187792
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Timing the volatility risk of beta anomaly : evidence from hedge fund strategies
Ma, Tianyi; Tee, Kaihong; Li, Baibing - In: International review of financial analysis 81 (2022), pp. 1-15
Persistent link: https://www.econbiz.de/10013395938
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Where is the risk reward? : the impact of volatility-based fund classification on performance
Ewen, Martin - In: Risks : open access journal 6 (2018) 3, pp. 1-20
This paper examines the impact of volatility-based fund classification on portfolio performance. Using historical data … on equity indices, we find that a strategy based on long-term portfolio volatility, as is imposed by the Synthetic Risk … mean returns, but significantly lower SRs for the volatility-based strategies. This evidence suggests that neither the …
Persistent link: https://www.econbiz.de/10011890779
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Are Investors Aware of Climate-Related Transition Risks? Evidence from Mutual Fund Flows
Reboredo, Juan C. - 2020
Using information on climate transition risks embedded in US equity mutual fund portfolios, we report evidence that mutual fund investors consider climate-related transition risk to be an undesirable fund feature and accordingly allocate more money to funds with lower climate-related transition...
Persistent link: https://www.econbiz.de/10012824011