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Is socially responsible investing just screening? : evidence from mutual funds
Hirschberger, Markus; Steuer, Ralph E.; Utz, Sebastian; … - 2012
This paper presents the results of an empirical study concerning conventional and socially responsible mutual funds.We apply a sophisticated operations research algorithm embedded in inverse portfolio optimization on financial market data, ESG-scores and CRSP fund data. Due to our results we...
Persistent link: https://www.econbiz.de/10009506554
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Efficiency Persistence in Mutual Fund Performance
Vidal-García, Javier; Vidal, Marta - 2021
This paper analyses the market efficiency persistence of the mutual fund industry around the world. With a large … evidence of significant efficiency persistence around the world on a monthly and annual basis. We conclude that efficiency … examine fund efficiency across countries and its potential persistence. We employ the data envelopment analysis (DEA …
Persistent link: https://www.econbiz.de/10013243494
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Management Efficiency in the Mutual Fund Industry
Vidal-García, Javier; Vidal, Marta - 2022
equity in comparison to their reference benchmarks, the FTSE All-Share Index and the London Stock Exchange Index, for a … shows that these commissions are especially relevant in the efficiency results obtained. This conclusion highlights the …
Persistent link: https://www.econbiz.de/10013297621
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Mutual Fund Efficiency in Europe
Vidal, Marta; Vidal-García, Javier - 2021
In this paper, we evaluate the market efficiency of the European mutual fund industry using daily mutual fund returns … cases. Using non-parametric Data Envelopment Analysis (DEA) we find evidence of high cost efficiency across countries. This … high efficiency slightly decreases during the sample period, although still maintaining efficiency of over 60% for all …
Persistent link: https://www.econbiz.de/10014087487
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A Comparison of Short-Term Persistence of Mutual Fund Performance in Europe
Vidal-García, Javier - 2017
The mutual fund industry in Europe has experienced significant growth during recent years as a consequence of the integration of its markets. However, the European mutual fund industry is still an unexplored area of research with only a few significant articles compared to the US industry. In...
Persistent link: https://www.econbiz.de/10012969807
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Offsetting Disagreement and Security Prices
Huang, Shiyang - 2020
We propose that investor beliefs frequently “cross” in the sense that an investor may like company A, but dislike company B, while another investor may like company B, but dislike company A. Belief-crossing makes it almost impossible to construct a portfolio that is comprised solely of every...
Persistent link: https://www.econbiz.de/10012856790
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On the relative performance of multi-strategy and funds of hedge funds
Agarwal, Vikas; Kale, Jayant R. - 2007 - This version: June 14, 2007
Recently, there has been explosive growth in two products from the hedge fund industry - multi-strategy (MS) funds and funds of hedge funds (FOFs), both of which offer diversification across different hedge fund strategies. In well-functioning markets, both investment vehicles should offer...
Persistent link: https://www.econbiz.de/10009526500
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Performance of International and Global Equity Mutual Funds : Do Country Momentum and Sector Momentum Matter?
Breloer, Bernhard - 2014
This is the first paper analyzing the impact of index momentum factors on the performance of international and global equity funds. Extending an international, index-based version of the Fama and French (1993) three-factor model by adding the factors of country momentum and sector momentum, we...
Persistent link: https://www.econbiz.de/10013067838
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Market Timing Around the World
Vidal, Marta - 2019
This paper challenges existing studies of mutual fund market timing that find little evidence of timing ability. Using a sample of daily returns for 35 countries, we find that more than a third of mutual funds show significantly positive market timing ability across all countries. We show that...
Persistent link: https://www.econbiz.de/10012904756
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Diversification Strategies and the Performance of Funds of Hedge Funds
Dai, Na - 2019
Funds of hedge funds are diversified investment vehicles that provide investors with diversification either across managers within a specific hedge fund strategy or across a wide range of hedge fund strategies. In this paper, we contrast the performance of funds of hedge funds that diversify...
Persistent link: https://www.econbiz.de/10012905988