efficiency perspective. A consistent return in excess of the benchmark is demonstrated over different time horizons and in … the excess return, and their relationship is modelled as a Markov switching process of two market regimes. We find that … the entire ‘abnormal return’ is associated with the high volatility regime, so the presence of a latent risk factor cannot …

return, risk and management fee. We find that investors avoid risk and there is a convex and positive relationship between … risk-adjusted return and fund flows. Investors display disposition effect regarding nominal monthly return. Cost is a …