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Nonparametric tests for market timing ability using daily mutual fund returns

Ding, Jing; Jiang, Lei; Liu, Xiaohui; Peng, Liang - In: Journal of economic dynamics & control 150 (2023), pp. 1-20

Persistent link: https://www.econbiz.de/10014287781

Zeitparametervariable Analyse und Visualisierung von Finanzdaten : Methoden der Investmentprozessbegleitung fondsgebundener Anlageformen

Schelwies, Norman - 2008 - 1. Aufl.

Viele aktive Entscheidungen bei der Anlage in Wertpapieren werden auf Basis von Informationen getroffen, die mit Hilfe empirischer Analysen historischer Finanzdaten gewonnen wurden. Leider sind die meisten Ergebnisse dieser Analysen sehr anfällig gegenüber einer Änderung der Zeitparameter,...

Persistent link: https://www.econbiz.de/10003678800

The resilience of Islamic equity funds during COVID-19 : evidence from risk adjusted performance, investment styles and volatility timing

Mirza, Nawazish; Rizvi, Kumail Abbas; Saba, Irum; … - In: International review of economics & finance : IREF 77 (2022), pp. 276-295

Persistent link: https://www.econbiz.de/10013332354

Drawdown risk in mutual funds performance

Kumaran, Sunitha - In: Journal of finance and investment analysis 2 (2013) 2, pp. 89-106

. Accordingly, investors often want to minimize downside volatility as a part of their portfolio planning. Investors already have … several tools to measure downside volatility, including the lower partial moment and the maximum drawdown. The performance … Index is a volatility measure that only captures continuous downside movements in share price, and ignores upside volatility …

Persistent link: https://www.econbiz.de/10009746020

Smart fund managers? : stupid money?

Bernhardt, Dan; Davies, Ryan J. - In: The Canadian journal of economics 42 (2009) 2, pp. 719-748

Persistent link: https://www.econbiz.de/10003846939

The real-life performance of market timing with moving average and time-series momentum rules

Zakamulin, Valeriy - In: The journal of asset management 15 (2014) 4, pp. 261-278

Persistent link: https://www.econbiz.de/10010476240

Improving market timing of time series momentum in the Chinese stock market

Qin, Yafeng; Pan, Guoyao; Bai, Min - In: Applied economics 52 (2020) 43, pp. 4711-4725

Persistent link: https://www.econbiz.de/10012298683

Market timing : sin a little resolving the valuation timing puzzle

Asness, Cliff; Ilmanen, Antti; Maloney, Thomas - In: Journal of investment management : JOIM 15 (2017) 3, pp. 23-40

Persistent link: https://www.econbiz.de/10011914783

Momentum and the cross-section of stock volatility

Fan, Minyou; Kearney, Fearghal; Li, Youwei; Liu, Jiadong - In: Journal of economic dynamics & control 144 (2022), pp. 1-30

Persistent link: https://www.econbiz.de/10013543109

Salience and mutual fund investor demand for idiosyncratic volatility

Clifford, Christopher P.; Filkerson, Jon A.; Jame, Russell - In: Management science : journal of the Institute for … 67 (2021) 8, pp. 5234-5254

Persistent link: https://www.econbiz.de/10012625105