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Geographical vibrancy and firm performance
Cooper, Michael J.; Ovtchinnikov, Alexei V. - 2015
We develop a geographical-based vibrancy index using important location characteristics that measure local economic health. We show that local vibrancy is associated with future firm outcomes, including investment, leverage, profitability, and firm value. More vibrant firms are located in...
Persistent link: https://www.econbiz.de/10011327192
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Why does idiosyncratic risk increase with market risk?
Bartram, Söhnke M.; Brown, Gregory W.; Stulz, René M. - 2016
From 1963 through 2015, idiosyncratic risk (IR) is high when market risk (MR) is high. We show that the positive relation between IR and MR is highly stable through time and is robust across exchanges, firm size, liquidity, and market-to-book groupings. Though stock liquidity affects the...
Persistent link: https://www.econbiz.de/10011520321
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The Halloween Effect in US Sectors : Comment
Doeswijk, Ronald Q. - 2009
We argue that the Jacobsen and Visaltanachoti (2009) study is incomplete. Jacobsen and Visaltanachoti (2009) evaluate the Halloween effect or ‘Sell in May'-effect as documented by Bouman and Jacobsen (2002), and extend the analysis into the relative performances of sectors during the winter...
Persistent link: https://www.econbiz.de/10013157007
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On the Performance of Volatility-Managed Portfolios
Cederburg, Scott - 2019
investments in the original, unmanaged portfolios. This poor out-of-sample performance for volatility-managed portfolios stems …
Persistent link: https://www.econbiz.de/10012890204
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Why Does Idiosyncratic Risk Increase with Market Risk?
Bartram, Söhnke M. - 2017
From 1963 through 2015, idiosyncratic risk (IR) is high when market risk (MR) is high. We show that the positive relation between IR and MR is highly stable through time and is robust across exchanges, firm size, liquidity, and market-to-book groupings. Though stock liquidity affects the...
Persistent link: https://www.econbiz.de/10012968364
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Why Does Idiosyncratic Risk Increase with Market Risk?
Bartram, Söhnke M. - 2017
From 1963 through 2015, idiosyncratic risk (IR) is high when market risk (MR) is high. We show that the positive relation between IR and MR is highly stable through time and is robust across ex-changes, firm size, liquidity, and market-to-book groupings. Though stock liquidity affects the...
Persistent link: https://www.econbiz.de/10012968929
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Detecting Repeatable Performance
Harvey, Campbell R. - 2020
. 2499–2552. Past fund performance does a poor job of predicting future outcomes. The reason is noise. Using a random effects …
Persistent link: https://www.econbiz.de/10012855889
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Fund Manager Characteristics and Performance
Fang, Yi - 2014
fund performance. The framework includes three tiers of performance elements: 1) comprehensive performance, 2) return and … risk, and 3) timing skill and picking ability. Using performance decomposition, our evidence indicates that various … performance. In particular, having a degree of Master of Business Administration or a Chartered Financial Analyst qualification is …
Persistent link: https://www.econbiz.de/10013049483
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Even a Skilled Manager Can Experience Bad Luck : The Likelihood of Short-Term Underperformance During Periods of Long-Term Outperformance
Greene, Jason T. - 2015
-term performance measures, the greater the likelihood of incorrectly terminating funds that have long-term outperformance. Likewise … performance are susceptible to actions driven by a manager's luck rather than skill and can be costly for a plan; they can lead to …
Persistent link: https://www.econbiz.de/10013034510
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Does Manager Race Impact Performance? An Examination of the US Mutual Fund Industry
Dewald, Fred; Fan, Steve Z. - 2021
industry. We investigate manager characteristics and performance differences between the minority (Asian, Black, Hispanic … understanding of mutual fund performance in general. More importantly, this study provides timely and imperative information to …
Persistent link: https://www.econbiz.de/10013211473