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Risk and uncertainty in style rotation

Krause, Timothy A. - In: Financial services review : the journal of individual … 27 (2018) 2, pp. 189-207

Persistent link: https://www.econbiz.de/10011992584

Assessing tracking risk of ETFs in India : an empirical study on selected index ETFs

Sarkar, Swapan - In: Research bulletin / The Institute of Cost Accountants … 42 (2016/2017) 4, pp. 23-37

Persistent link: https://www.econbiz.de/10011722276

ETF Risk Models

Kakushadze, Zura; Yu, Willie - 2021

We discuss how to build ETF risk models. Our approach anchors on i) first building a multilevel (non … how to build an ETF taxonomy using ETF constituent data. A multilevel ETF taxonomy can also be constructed by … appropriately augmenting and expanding well-built and granular third-party single-level ETF groupings …

Persistent link: https://www.econbiz.de/10013213003

When Risk and Return are Not Enough : The Role of Loss Aversion in Private Investors' Choice of Mutual Fund Fee Structures

Ehm, Christian - 2014

Using data from surveys as well as as real transactions we analyze which and why investors choose funds with performance fees even though these funds may be more expensive. According to agency theory, performance fees could incentivize managers to achieve better returns, but they could also...

Persistent link: https://www.econbiz.de/10013064139

A Self-Exciting Model for Mutual Fund Flows : Investor Behaviour and Liability Risk

Darolles, Serge - 2019

This paper analyses the purchase and redemption behaviour of mutual fund investors and its implications on fund liquidity risk. We collect a novel set of proprietary data which contains a large number of French investors holding funds with various degrees of asset liquidity. We build a...

Persistent link: https://www.econbiz.de/10012899171

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

The Exclamation Mark of Cain : Risk Salience and Mutual Fund Flows

Mugerman, Yevgeny - 2020

We study a regulation that increased mutual funds' risk salience through name change. Using daily fund flow data and several identification strategies, we find that requiring certain fixed income mutual funds to affix an exclamation mark ("!") to their names caused a statistically and...

Persistent link: https://www.econbiz.de/10012850685

Horizon Goals and Risk Taking in Mutual Funds

Guo, Zhishan - 2015

This paper studies the relationship between mutual fund manager investment horizons and managerial risk-taking decisions. I find that in general mutual funds reporting longer maximum evaluation horizons have lower risk levels. The low risk levels helped these funds mitigate their losses in the...

Persistent link: https://www.econbiz.de/10013034690

Which Factors Matter to Investors? Evidence from Mutual Fund Flows

Barber, Brad M. - 2016

When assessing a fund manager's skill, sophisticated investors will consider all factors (priced and unpriced) that explain cross-sectional variation in fund performance. We investigate which factors investors attend to by analyzing mutual fund flows as a function of recent returns decomposed...

Persistent link: https://www.econbiz.de/10013006628

The Impact of Risk and Return Perceptions on the Portfolio Reallocation Decisions of Mutual Fund Investors

Ederington, Louis H. - 2010

To explore how portfolio allocations among equities, fixed income securities, and cash are impacted by investors' risk and return expectations, this paper explores portfolio reallocations among equity, bond, and money market mutual funds. As predicted by the literature on optimal portfolio...

Persistent link: https://www.econbiz.de/10013146812

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