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A note on market timing: Interim trading and the performance of holdings-based and return-based measures
Matallín Sáez, Juan Carlos 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 ... -
Active Management and Mutual Fund Performance
Matallín Sáez, Juan Carlos; Soler-Dominguez, Amparo; Tortosa-Ausina, Emili Universidad de Zaragoza. Facultad de Ciencias Económicas (2018)This paper analyses the relationship between active management and performance in US equity mutual funds over the period 2001-2011 for both gross and net returns. Active management is measured by time-varying parameters, ... -
Better Performance of Mutual Funds with Lower R2's Does Not Suggest that Active Management Pays
Matallín Sáez, Juan Carlos now publishers (2023-08-08)We found a negative relation between mutual funds’ past R2 and their abnormal performance, as did Amihud and Goyenko (2013), who proposed measuring active management of mutual funds by 1−R2. The interpretation of this ... -
Cash management and performance of index mutual funds
de Mingo-López, Diego Víctor; Matallín Sáez, Juan Carlos; Soler-Dominguez, Amparo Consejo Latinoamericano de Escuela de Administración (2020-10-15)Purpose - This study aims to assess the relationship between cash management and fund performance in index fund portfolios. Design/methodology/approach - Using a sample of 104 index mutual funds that track the Standard ... -
Cost and performance of carbon risk in socially responsible mutual funds
Matallín Sáez, Juan Carlos; Soler-Dominguez, Amparo AIMS Press (2023)Investors and other financial actors are attracted by the role of socially responsible (SR) mutual funds in the transition to a low-carbon economy. In response to the demand for more information, Morningstar reported the ... -
Determinants of pension plan fees in Spain
Martí Ballester, Carmen; Matallín Sáez, Juan Carlos; Fernandez-Izquierdo, Maria Angeles Taylor & Francis (2009)Pension plans and funds represent a substantial part of the welfare systems in both Europe and Spain. One of the most important factors in the choice of a plan or fund is the performance it obtains. In view of the influence ... -
Do investors in Spain react to news on sustainability and corporate social responsibility?
Fernandez-Izquierdo, Maria Angeles; Aragó, Vicent; Matallín Sáez, Juan Carlos; Nieto Soria, Luisa Inderscience Enterprises (2009)We analyse whether sustainability and corporate social responsibility-related news affects returns of stocks traded on the Spanish stock market. We used event methodology and an approach consistent with the active management ... -
Does active management add value? New evidence from a quantile regression approach
Matallín Sáez, Juan Carlos; Soler-Dominguez, Amparo; Tortosa-Ausina, Emili Taylor & Francis (2019-06)While it has long been recognised that active management is an important issue in the area of mutual fund performance, little consensus has been reached about the value managers’ abilities can add. This study examines ... -
Does socially responsible mutual fund performance vary over the business cycle? New insights on the effect of idiosyncratic SR features
Matallín Sáez, Juan Carlos; Soler-Dominguez, Amparo; de Mingo-López, Diego Víctor; Tortosa-Ausina, Emili Wiley (2018-09-26)This study analyses the performance and market timing of US socially responsible (SR) mutual funds in relation to business cycle regime shifts and different grouping criteria: Ethical strategy focus, SR attributes scores ... -
Environmental conditions, fund characteristics, and Islamic orientation: An analysis of mutual fund performance for the MENA region
El-Masry, Ahmed A.; de Mingo-López, Diego Víctor; Matallín Sáez, Juan Carlos; Tortosa-Ausina, Emili 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 ... -
Ethical strategy focus and mutual fund management: Performance and persistence
Matallín Sáez, Juan Carlos; Soler-Dominguez, Amparo; Tortosa-Ausina, Emili; de Mingo-López, Diego Víctor Elsevier (2019-03)The aim of this study is to analyze whether managers, practitioners and individual investors could obtain higher risk-adjusted returns by allocating their investments to funds that integrate specific levels of socially ... -
Influencia de la rentabilidad en el proceso de selección en los planes de pensiones en España: un análisis de sensibilidad
Martí Ballester, Carmen; Matallín Sáez, Juan Carlos; Fernandez-Izquierdo, Maria Angeles Asociación Española de Contabilidad y Administración de Empresas (2008)El objetivo del presente trabajo es doble: por un lado analizar los factores que inducen a un inversor a seleccionar un plan de pensiones concreto y por otro determinar si dichos inversores poseen habilidades de selección. ... -
Institutional investment management: An investor's perspective on the relation between turnover and performance
de Mingo-López, Diego Víctor; Matallín Sáez, Juan Carlos Taylor & Francis (2018-01)The main aim of this study is to analyse the relationship between turnover and performance in institutional investment management. For a sample of US equity mutual funds during the period January 1999–December 2014, we ... -
Investing in mutual funds: the determinants of implied and actual net cash flows
de Mingo-López, Diego Víctor; Matallín Sáez, Juan Carlos Taylor & Francis (2017)Estimating the fund investors’ demand plays an important role in the mutual fund management. In this line, mutual fund demand can be measured as the total net cash flows experienced by the fund during a period. Due to a ... -
Investor behavior and the demand for conventional and socially responsible mutual funds
Matallín Sáez, Juan Carlos; Soler-Dominguez, Amparo; Navarro Montoliu, Salvador; de Mingo-López, Diego Víctor Wiley (2021-07-06)This study analyzes the demand for conventional and socially responsible (SR) mutual funds using cash flow data from a large sample of U.S. equity funds. For both types of funds, previous results have a positive impact on ... -
Is Ethical Money Sensitive to Past Returns? The Case of Portfolio Constraints and Persistence in Islamic Funds
Abdelsalam, Omneya; Duygun, Meryem; Matallín Sáez, Juan Carlos; Tortosa-Ausina, Emili Springer Verlag (2017-06)In this paper, we analyze the performance persistence and survivorship bias of Islamic funds. The remarkable growth of these types of ethical funds raises the question of how non-financial attributes, including beliefs and ... -
Looking for sustainable development: Socially responsible mutual funds and the low‐carbon economy
Soler-Dominguez, Amparo; Matallín Sáez, Juan Carlos; de Mingo-López, Diego Víctor; Tortosa-Ausina, Emili John Wiley and Sons (2020)Sustainable investment responds to demands for carbon and climate‐neutral societies. To address the urgency around climate change and provide investors with more qualified information, Morningstar has developed the Low ... -
Market risk aversion under volatility shifts: An experimental study
Aragó, Vicent; Barreda-Tarrazona, Iván; Breaban, Adriana; Matallín Sáez, Juan Carlos; Salvador, Enrique Elsevier (2022-03-15)We propose an experiment to analyze the relationship between volatility regimes and investors’ behavior and explore the mechanism by which aggregated risk aversion is configured. We design a market in which the volatility ... -
Measuring Investors' Socially Responsible Preferences in Mutual Funds.
Barreda-Tarrazona, Iván; Matallín Sáez, Juan Carlos; Balaguer Franch, María del Rosario © Springer, Part of Springer Science+Business Media (2011-10)The aim of this study is to analyze investor behavior towards socially responsible mutual funds. The analysis is based on an experimental study where a sample of individuals takes investment decisions under different ... -
Mutual fund performance and changes in factor exposure
Bessler, Wolfgang; Conlon, Thomas; de Mingo-López, Diego Víctor; Matallín Sáez, Juan Carlos Wiley (2022-03-21)In this article, we examine whether active mutual funds that markedly change their exposure to systematic risk factors subsequently outperform. We propose a new returns-based approach to assess the degree to which mutual ...