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A note on market timing: Interim trading and the performance of holdings-based and return-based measures
(Eselvier, 2015)
Market timing is the ability of portfolio managers to anticipate stock market return by increasing (decreasing) portfolio sensitivity in upward (downward) markets. To assess market timing, the financial literature has ...
Non-simultaneous market timing in mutual funds
(Asian Network for Scientific Information, 2009)
The objective and contribution of this study is to analyse market timing over non-simultaneous periods. This approach considers that decisions on portfolio risk could affect the fund return in subsequent periods and not ...
On causality in the size-efficiency relationship: the effect of investor cash flows on the mutual fund industry
(2010-12-14)
One of the perceived advantages in mutual fund management is the presence of economies of scale resulting from fund size. This article analyses the impact of mutual fund cash flows on the relation between size and performance, ...
Environmental conditions, fund characteristics, and Islamic orientation: An analysis of mutual fund performance for the MENA region
(Elsevier, 2016-12)
Islamic funds are increasingly seen as an alternative to conventional funds, in part due to the growing prominence of Islamic finance. In contrast to most previous literature, this paper focuses on the countries of the ...
Mutual fund performance: banking versus independent managers
(Taylor & Francis, 2011-09-09)
We examine the performance of mutual fund managers for a sample of Spanish mutual funds considering data on active management, loads, size and the number of funds managed per manager. We find evidence of differences in ...
On the robustness of persistence in mutual fund performance
(Elsevier, 2016)
This paper analyzes persistence in US equity mutual fund performance over the period 1990–2015. We apply commonly used measures of persistence, which we test using a set of simulated passive funds. In the first stage we ...