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Wavelet quantile correlation between DeFi assets and banking stocks

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Time-frequency quantile dependence between Bitcoin and global equity markets

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Factor exposure variation and mutual fund performance

Ammann, Manuel; Fischer, Sebastian; Weigert, Florian - 2020 - This version: August 2020

We investigate the relationship between a mutual fund's variation in factor exposures and its future performance. Using a dynamic state space version of Carhart (1997)'s four factor model to capture factor variation, we find that funds with volatile factor exposures underperform funds with...

Persistent link: https://www.econbiz.de/10012264676