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Factor exposure variation and mutual fund performance
Ammann, Manuel; Fischer, Sebastian; Weigert, Florian - 2020 - This version: August 2020
investor flows. We conclude that fund managers voluntarily attempt to time factors, but they are unsuccessful at doing so. …
Persistent link: https://www.econbiz.de/10012264676
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Risk factor exposure variation and mutual fund performance
Ammann, Manuel; Fischer, Sebastian; Weigert, Florian - 2018
fund's forced trading through investor flows. We conclude that fund managers voluntarily attempt to time risk factors, but …
Persistent link: https://www.econbiz.de/10011906504
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Stock selection and timing ability of the Taiwan equity funds : the application of stochastic beta, GARCH, and nonlinear GLS
Goo, Yeong-Jia; Chang, Feng-Huei; Chiu, Kuo-Liang - In: Modern economy 6 (2015) 2, pp. 153-164
Persistent link: https://www.econbiz.de/10011286014
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Market efficiency and anomalies : evidences from S&P CNX NIFTY
Siddiqui, Taufeeque Ahmad; Narula, Isha - In: Vision : the journal of business perspective 17 (2013) 3, pp. 233-245
Persistent link: https://www.econbiz.de/10010357657
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Volatility timing in CPF investment funds in Singapore : do they outperform non-CPF funds?
Shen, Xiaoyi; Tsui, Albert K.; Zhang, Zhaoyong - In: Risks : open access journal 7 (2019) 4/106, pp. 1-16
will provide the CPF board with a new method for risk classification. We employ the GARCH models and modified factor models …
Persistent link: https://www.econbiz.de/10012127925
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Now-casting and the real-time data flow
Bańbura, Marta; Giannone, Domenico; Modugno, Michele; … - 2013
Persistent link: https://www.econbiz.de/10009766339
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Now-casting and the real-time data flow
Bańbura, Marta; Giannone, Domenico; Modugno, Michele; … - 2013
Persistent link: https://www.econbiz.de/10011507018
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Non-synchronous trading and testing for market integration in Central European emerging markets
Schotman, Peter C.; Zalewska-Mitura, Anna - 2005
Persistent link: https://www.econbiz.de/10003226088
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Non-syncronous trading and testing for market integration in Central European emerging markets
Schotman, Peter C.; Zalewska-Mitura, Anna - In: Journal of empirical finance 13 (2006) 4/5, pp. 462-494
Persistent link: https://www.econbiz.de/10003370858
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Non-Synchronous Trading and Testing for Market Integration in Central European Emerging Markets
Zalewska, Anna (Ania) - 2007
-synchronous trading. We argue that controlling for time differences in trading hours of stock markets is important and show that time … time-match problem but leads to significant loss of information. We show that the nature of integration of stock exchanges … markets have declined over time …
Persistent link: https://www.econbiz.de/10012732052