Narrow search
Showing 1 - 10 of 3,231
Cover Image
Essays on empirical asset pricing
Nteventzis, Dimitrios - 2022
test criteria in identifying true asset pricing factors. We focus on the Sharpe ratio and pricing performance improvement …. While both criteria are exposed to model misspecification, we find that pricing performance criteria are inferior as their … performance is driven by estimation bias. Through an empirical application, we demonstrate the impact of the criteria on the …
Persistent link: https://www.econbiz.de/10013450825
Cover Image
Size premium or size discount? : a dynamic capital mobility based interpretation
Song, Garrison Hongyu - In: Studies in economics and finance 40 (2023) 2, pp. 266-285
Persistent link: https://www.econbiz.de/10014227416
Cover Image
Mutual fund flows, expected returns, and the real economy
Jank, Stephan - 2011 - First draft: December 4, 2010, This draft: February 7, 2011
The paper explores whether the co-movement of market returns and equity fund flows can be explained by a common response to macroeconomic news. I find that variables that predict the real economy as well as the equity premium are related to mutual fund flows. Changes in dividend-price ratio...
Persistent link: https://www.econbiz.de/10008902922
Cover Image
Three essays on asset pricing anomalies, investor overreaction, and mutual fund performance
Zhang, Hong - 2004
Persistent link: https://www.econbiz.de/10003551684
Cover Image
Fear and closed-end fund discounts
Anderson, Seth C.; Beard, Thomas Randolph; Kim, Hyeongwoo; … - In: Applied economics letters 20 (2013) 10/12, pp. 953-956
Persistent link: https://www.econbiz.de/10010195346
Cover Image
Mutual fund flows, expected returns, and the real economy
Jank, Stephan - In: Journal of banking & finance 36 (2012) 11, pp. 3060-3070
Persistent link: https://www.econbiz.de/10009672989
Cover Image
The price of ethics : evidence from socially responsible mutual funds
Renneboog, Luc (contributor);  … - 2007
Persistent link: https://www.econbiz.de/10003653535
Cover Image
Mutual Fund Flows, Expected Returns, and the Real Economy
Jank, Stephan - 2014
This paper investigates the relation between mutual fund flows and the real economy.The findings of this paper support the theory that the positive co-movement of flows into equity funds and stock market returns is explained by a common response to macroeconomic news.Variables that predict the...
Persistent link: https://www.econbiz.de/10013068939
Cover Image
Essays on asset pricing anomalies
Schrön, Sebastian - 2020
Persistent link: https://www.econbiz.de/10012660786
Cover Image
Active and passive asset management
Monteux, Manou - In: Asset management : strategies, opportunities and challenges, (pp. 61-79). 2019
Persistent link: https://www.econbiz.de/10013275762