This paper studies investor disagreement in the performance evaluation of equity mutual funds by comparing two existing approaches and estimating its relations with fund characteristics, active management level and fund flows. We find that investors disagree more about the performance of funds...

This paper investigates to what extent the U.S. presidential cycle can spillover across borders and affect the actions of global investors. Using data from 2000 to 2022 on G10 countries, we show that, on average, the annualized equity premium is 6.1% higher and the net monthly percentage equity...

A new approach to species distribution modelling based on unsupervised classification via a finite mixture of GAMs incorporating habitat suitability curves is proposed. A tailored EM algorithm is outlined for computing maximum likelihood estimates. Several submodels incorporating various...

"This paper presents a new method to examine the performance evaluation of mutual funds in incomplete markets. Based on the no arbitrage condition, we develop bounds on admissible performance measures. We suggest new ways of ranking mutual funds and provide a diagnostic instrument for evaluating...

The estimation of multivariate GARCH time series models is a difficult task mainly due to the excessive parametrization exhibited by the problem, usually referred to as the “curse of dimensionality”. For the VEC family, the number of parameters involved in the model grows as a polynomial of...

Let X be a n×p real matrix with coherence μ(X)=maxj≠j′|XjtXj′|. We present a simplified and improved study of the quasi-isometry property for most submatrices of X obtained by uniform column sampling. Our results depend on μ(X), the operator norm ‖X‖ and the dimensions with explicit...

We show how to use asset market data to restrict the admissible region for the first-order autocorrelation of the stochastic discount factor (SDF). We interpret this statistic as a measure of a model’s economic time variation across two periods. Estimating bounds for nominal and real SDFs at...