The 2008-2009 global financial crisis has raised new questions about the relationship between equity fund flows and stock market returns. This paper analyses it using US monthly data over the period 2000:1-2015:08. A VAR-GARCH(1,1)-in-mean model with a BEKK representation is estimated, and a...

The 2008-2009 global financial crisis has raised new questions about the relationship between equity fund flows and stock market returns. This paper analyses it using US monthly data over the period 2000:1-2015:08. A VAR-GARCH(1,1)-in-mean model with a BEKK representation is estimated, and a...

Our study is the first to combine returns based and characteristics based style analysis into a single style analysis model. We use Best Fit Indices to establish the ‘investment domains' of our sample managers, along the lines of size and ‘style,' and then use our multidimensional...

In this study we consider two methods of returns based style analysis for classification of investment styles for a single asset class, US Diversified Equity Funds. We extend Sharpe's (1992) style Returns Based Style Analysis (RBSA) by forming style groups using cluster analysis and RBSA...

In this study, I investigate the performance of five categories of U.S. domestic equity mutual funds during the recessions of 1990 and 2001 and during the 12 months following each recession. I show that recessions identified by the National Bureau of Economic Research (NBER) are not all the same...

We find that in Australia, Mid/Small-cap funds often have significantly positive net alphas and this is driven by their strong performance in down-markets. In contrast Large-cap funds often have significantly negative net alphas and this is driven by their relatively poor performance in...