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Brown, Gregory W.; Fei, Celine Yue; Robinson, David T. - National Bureau of Economic Research - 2023

General Partners (GPs) in private equity face a trade-off between focusing their skills and effort on fewer investments to earn higher returns, or investing more broadly to reduce risk through diversification. Using a novel, deal-level dataset of 5,925 global investments from 1999 to 2016, we...

Persistent link: https://www.econbiz.de/10014372421

Mutual funds and safe government bonds : do returns matter?

Graziano, Marco; Habib, Maurizio Michael - 2024

This paper investigates the sensitivity of the demand for safe government debt to currency unhedged and hedged excess returns in a sample of US mutual funds. We find evidence of active rebalancing towards government bonds that offer relatively higher returns on an unhedged basis, in particular...

Persistent link: https://www.econbiz.de/10014527087

Do Derivatives Enhance or Deter Mutual Fund Risk-Return Profiles? Evidence from Italy

Garcia-Appendini, Emilia - 2015

We analyze the use of derivatives in Italian equity mutual funds from December 2002 to May 2007. We find that the average asset allocation in derivatives increased considerably during this time frame, roughly coinciding with the harmonization of Italian regulation of mutual funds to European...

Persistent link: https://www.econbiz.de/10013039502

Do Small-Cap Fund Managers are Really Familiar with Small Stock? The Explanation from Coskewness Timing Ability

Wattanatorn, Woraphon - 2018

In this study, we investigate the mutual fund managers' ability to time market coskewness. Analyzing nine investment styles of US equity fund, we find strong evidence to support that between 1973 and 2018, mutual fund managers investing in Small-Blend and Small-Growth schemes demonstrate the...

Persistent link: https://www.econbiz.de/10012913682

Behavioural Types and Characteristics of UK Fund Managers’ Cascading and Herding : New Evidence From the Stock Market

Lu, Ralph - 2013

This paper first extends Sias (2004) to examine whether UK fund managers are engaged in herding behaviours in the stock market, their reasons for herding, whether their herding behaviours are different during bullish and bearish periods and whether or not their herding behaviours are...

Persistent link: https://www.econbiz.de/10013079120

The Impact of Benchmark Choice on US Mutual Fund Benchmark-Adjusted Performance and Ranking

B. Mateus, Irina - 2017

This study re-visits the question of benchmark mismatch among 1281 US equity mutual funds and its impact on benchmark-adjusted fund performance and ranking. All funds report S&P500 index as a prospectus benchmark, yet 2/3 of those are placed in the Morningstar category with risk and objectives...

Persistent link: https://www.econbiz.de/10012950444

Institutional Investors, Heterogeneous Benchmarks and the Comovement of Asset Prices

Buffa, Andrea M - 2018

benchmarks, and demonstrate how heterogeneous benchmarking generates a mechanism through which fundamental shocks propagate … across assets. Fluctuations in asset managers' capital invested for benchmarking purposes, scaled by the size of the economy … these benchmarking-induced spillovers by analyzing shock elasticities and cross-elasticities of price-dividend ratios, and …

Persistent link: https://www.econbiz.de/10012910534

Benchmark versus Index in Mutual Fund Performance Evaluation

Vidal-García, Javier; Vidal, Marta - 2022

The adequate evaluation of mutual fund performance and of the fund managers’ ability to add value is an issue to which it has been given special attention in the recent financial literature. One of the traditional evaluation measures most commonly used is Carhart's alpha. However, one of the...

Persistent link: https://www.econbiz.de/10014361402

International Mutual Funds : MSCI Benchmarks and Portfolio Evaluation

Comer, George - 2012

We examine the sensitivity of estimates of abnormal performance to models that vary in the degree to which they explicitly control for variation in the regional and emerging market allocations of diversified international mutual funds. Models based on the most commonly used global MSCI...

Persistent link: https://www.econbiz.de/10013112766

Information Content When Mutual Funds Deviate from Benchmarks

Jiang, Hao - 2013

The consensus wisdom of active mutual fund managers, as reflected in their average over- and underweighting decisions, contains valuable information about future stock returns. Analyzing a comprehensive sample of active U.S. equity funds 1984-2008, we find that stocks heavily overweighted by...

Persistent link: https://www.econbiz.de/10013093749