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Mutual funds and safe government bonds : do returns matter?

Graziano, Marco; Habib, Maurizio Michael - 2024

basis. Finally, when global financial risk is on the rise, US mutual fund managers repatriate their investments towards US …

Persistent link: https://www.econbiz.de/10014527087

When growth beats value : removing tail risk from global equity momentum strategies

Clare, Andrew D.; Seaton, James; Smith, Peter N.; … - 2014

Persistent link: https://www.econbiz.de/10010376537

Hedge fund alphas : do they reflect managerial skills or mere compensation for liquidity risk bearing?

Gibson, Rajna; Wang, Songtao - 2008

This article analyzes the effect of liquidity risk on the performance of various hedge fund portfolio strategies …. Similarly to Avramov et al. (2007), we find that, before accounting for the effect of liquidity risk, hedge fund portfolios that … dramatically for six out of ten hedge fund style-based portfolios once we account for liquidity risk. Hence, for most hedge fund …

Persistent link: https://www.econbiz.de/10003966170

Who trades on momentum?

Baltzer, Markus; Jank, Stephan; Smajlbegovic, Esad - 2015

Using a unique data set that contains the complete ownership structure of the German stock market, we study the momentum and contrarian trading of different investor groups. Foreign investors and financial institutions, and especially mutual funds, are momentum traders, whereas private...

Persistent link: https://www.econbiz.de/10010467770