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Herd behavior and mutual fund performance
Koch, Andrew - In: Management science : journal of the Institute for … 63 (2017) 11, pp. 3849-3873
Persistent link: https://www.econbiz.de/10011772840
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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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Style representation and portfolio choice
Massa, Massimo; Simonov, Andrei; Stenkrona, Anders - In: Journal of financial markets 23 (2015), pp. 1-25
Persistent link: https://www.econbiz.de/10011377484
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The tradeoff between mutual fund and direct stock investments : a theoretical analysis involving different types of investors
Marekwica, Marcel; Steininger, Bertram I. - In: Review of managerial science 8 (2014) 2, pp. 197-224
Persistent link: https://www.econbiz.de/10010253839
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A rational theory of mutual funds' attention allocation
Kacperczyk, Marcin; Nieuwerburgh, Stijn van; Veldkamp, Laura - In: Econometrica : journal of the Econometric Society, an … 84 (2016) 2, pp. 571-626
Persistent link: https://www.econbiz.de/10011552541
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Fund flows inducing mispricing of risk in competitive financial markets
Stahmer, Axel - 2015
This paper studies the effect of new fund flows on investment behavior and the resulting equilibrium price of risk. The Small Fund Industry model shows equilibria with overinvestment in unprofitable and underinvestment in profitable investment opportunities. The Large Fund Industry model derives...
Persistent link: https://www.econbiz.de/10011389297
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Non-fundamental demand and style returns
Ben-David, Itzhak; Li, Jiacui; Rossi, Andrea; Song, Yang - 2020
investors chase fund performance via Morningstar ratings. Until June 2002, funds pursuing the same investment style had highly …
Persistent link: https://www.econbiz.de/10012388379
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Implementing mean-variance spanning tests with short-sales constraints
AitSahlia, Farid; Doellman, Thomas; Sardarli, Sabuhi - In: The journal of investment strategies 12 (2023) 2, pp. 1-12
Persistent link: https://www.econbiz.de/10014484630
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Mutual Fund Selection : From Theory to Practice
Levy, Moshe; Roll, Richard - 2024
Long Horizons -- Chapter 4: Estimating Future Performance – The Shrinkage Adjusted Sharpe Ratio -- Chapter 5: Active Versus … Practice. It describes and analyzes the key measures that have been proposed to evaluate mutual fund performance, considers … their usefulness for predicting future performance over long and short horizons and introduces a new measure -- the …
Persistent link: https://www.econbiz.de/10015072141
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Network hierarchy in Kirman’s ant model : fund investment can create systemic risk
Alfarano, Simone; Milaković, Mishael; Raddant, Matthias - 2009
herding. The model’s original version suffers from the problem of N-dependence: its ability to replicate the statistical … agents. -- herding ; financial markets ; networks ; N-dependence ; systemic risk …
Persistent link: https://www.econbiz.de/10003906917