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Measuring the mutual fund industry risk management and performance sustainability : quantile regression model

Lee, Joe-ming - 2013

We apply the Quantile Regression Model to observe the rankcorrelation between bond fund performance and asset,volatility, management fee, Sharpe index and show that fundperformance between volatility as a negative significantrelationship, implied extreme values have been generated...

Persistent link: https://www.econbiz.de/10009776201

Equity fund performance : can momentum be explained by the pricing of idiosyncratic volatility?

Liu, Bin; Di Iorio, Amalia; De Silva, Ashton - In: Studies in economics and finance 33 (2016) 3, pp. 359-376

Persistent link: https://www.econbiz.de/10011722529

Causality between equity mutual fund flows, stock market return and volatility : Indian evidence

Kaur, Inderjit; Vagrecha, Kamal - In: International journal of business and globalisation : IJBG 35 (2023) 1/2, pp. 88-106

Persistent link: https://www.econbiz.de/10014388713

Evidence from business strategy of mutual fund managers after the financial crisis : panel smooth transition regression model

Lee, Joe-ming - 2013

between equity fund flow and investment volatility in Taiwan. Our empirical results show that the equity fund managers will be … strategy of equity fund managers. Belong to low-risk equity funds, the equity fund managers tend to attract investors to … performance. Conversely, belong to high-risk equity funds, the equity fund managers to increase fund performance, efforts to …

Persistent link: https://www.econbiz.de/10009776209

Is volatility a friend or enemy of your stock and fund investments?

Chen, Longchong; Gao, Jun; Sheng, Zhu - In: The journal of investment strategies 11 (2022) 3, pp. 61-87

Persistent link: https://www.econbiz.de/10013555707

Drawdown risk in mutual funds performance

Kumaran, Sunitha - In: Journal of finance and investment analysis 2 (2013) 2, pp. 89-106

To many people, the terror of falling share prices is often significant, often more so than the pleasure of gains. Accordingly, investors often want to minimize downside volatility as a part of their portfolio planning. Investors already have several tools to measure downside volatility,...

Persistent link: https://www.econbiz.de/10009746020