This paper provides evidence on the use of stochastic discount factors in the evaluation of portfolio performance. First we discuss evaluation in this setting, and relates it to traditional mean-variance analysis. We then use Monte Carlo experiments to examine the small sample properties of...

The performance, and its characteristics, of Swedish-based equity and bond mutual funds are studied in detail. Accounting for survivorship biases, regular equity funds have a slight overperformance, equity funds with certain tax advantages have a negative performance (before tax), and bond funds...

This paper studies the relation between fund performance and fund attributes in the Swedish market. Performance is measured as the alpha in a linear regression of fund returns on several benchmark assets, allowing for time-varying betas. The estimated performance is then used in a cross-sectinal...

Active portfolio management is associated with a costly search for information. This paper provides evidence on how this costly search affects the performance of European-based mutual funds that are actively managed and invest in Asia and Europe. The paper examines both the search for superior...

In this paper, I obtain new measures of the value of active portfolio management by forming replicating portfolios. These measures allow for a separate evaluation of fund managers' strategic and tactical decisions. I also obtain new evidence on the value of trading by decomposing it into...

This paper examines how investor and capital flows into mutual funds in the Swedish pension system are related to fund characteristics. Similarly to U.S. studies, we show that individuals chase past returns and have a strong preference for lower-fee funds. However, our results suggest that past...