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the analyses, Carhart's four-factor model is used as the benchmark for performance, and bootstrap procedures are applied …
Persistent link: https://www.econbiz.de/10011865316
33 funds we employ Fama and French's cross-sectional bootstrap. The results show that a large proportion of funds fail to …
Persistent link: https://www.econbiz.de/10011996157
Traditional measures of assessment of mutual fund performance (alpha) are based mostly on Capital Assets Pricing Model which presupposes fixed sensitivity of risk exposure of a fund to its market proxy (beta). However, changing economic conditions will alter this relationship. In conditional...
Persistent link: https://www.econbiz.de/10014232629
Although the environmental, social, and governance (ESG) has gained increasing attention among investors, the extent to which ESG is compensated systematically in the market remains to be investigated. On the outperformance of responsible investing (RI) which incorporates ESG into investment...
Persistent link: https://www.econbiz.de/10013252157
I estimate a mean-variance efficient (MVE) portfolio assuming that the MVE frontier is spanned by optimal portfolios that fund managers offer to heterogeneous investors. Consistent with predictions of mutual fund separation, the estimated MVE portfolio can price the cross section of portfolios...
Persistent link: https://www.econbiz.de/10013084038
This chapter provides a perspective on the rapidly developing literature on investment performance evaluation. I use the stochastic discount factor approach to present and critique current performance measurement techniques in a unified setting. I offer a number of suggestions to improve...
Persistent link: https://www.econbiz.de/10014025364
We compare two bootstrap methods for assessing mutual fund performance. Kosowski, Timmermann, Wermers and White (2006 … unable to deliver outperformance net of fees under either bootstrap. Gross of fees, 95% of fund managers on the basis of the … first bootstrap and all fund managers on the basis of the second bootstrap fail to outperform the luck distribution of gross …
Persistent link: https://www.econbiz.de/10013013404
We examine the role of liquidity risk, both as a stock characteristic as well as systematic liquidity risk, in UK mutual fund performance for the first time. We find that on average UK mutual funds are tilted towards liquid stocks (except for small stock funds as might be expected) but that,...
Persistent link: https://www.econbiz.de/10013047193
We compare two bootstrap methods for assessing mutual fund performance. Kosowski, Timmermann, Wermers and White (2006 … unable to deliver outperformance net of fees under either bootstrap. Gross of fees, 95% of fund managers on the basis of the … first bootstrap and all fund managers on the basis of the second bootstrap fail to outperform the luck distribution of gross …
Persistent link: https://www.econbiz.de/10012996414
We question the appropriateness of using time-invariant indices as benchmarks and propose a regime-switching methodology to identify the time-varying de facto benchmarks from a pool of the market-based indices, with or without a risk-free asset. We highlight the benchmark mismatch phenomenon and...
Persistent link: https://www.econbiz.de/10012847754