Mostrar el registro sencillo del ítem
Better Performance of Mutual Funds with Lower R2's Does Not Suggest that Active Management Pays
dc.contributor.author | Matallín Sáez, Juan Carlos | |
dc.date.accessioned | 2023-09-14T07:00:02Z | |
dc.date.available | 2023-09-14T07:00:02Z | |
dc.date.issued | 2023-08-08 | |
dc.identifier.citation | Juan Carlos Matallín-Sáez (2023), "Better Performance of Mutual Funds with Lower R2’s Does Not Suggest that Active Management Pays", Critical Finance Review: Vol. 12: No. 1-4, pp 367-387. http://dx.doi.org/10.1561/104.00000131 | ca_CA |
dc.identifier.uri | http://hdl.handle.net/10234/204167 | |
dc.description.abstract | 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 relationship would be that active management pays. However the same evidence is uncovered for artificial investments, due only to the behavior of the types of stocks they are holding. Therefore, we introduce a new factor, ImS (idiosyncratic minus systematic), defined as the difference between the stocks’ returns with lower and higher past R2 which captures this behavior. After adjusting for this factor, the initial evidence vanishes and abnormal performance associated with past R2 diminishes, even taking negative values for mutual funds. | ca_CA |
dc.format.extent | 25 p. | ca_CA |
dc.format.mimetype | application/pdf | ca_CA |
dc.language.iso | eng | ca_CA |
dc.publisher | now publishers | ca_CA |
dc.relation.isPartOf | Critical Finance Review, Volume 12, Issue 1-4, 2023. Special Issue: Volatility and Higher Moments: Articles Overview | ca_CA |
dc.rights | © 2023 Juan Carlos Matallín-Sáez | ca_CA |
dc.rights.uri | http://rightsstatements.org/vocab/InC/1.0/ | ca_CA |
dc.subject | performance | ca_CA |
dc.subject | idiosyncratic risk | ca_CA |
dc.subject | R squared | ca_CA |
dc.subject | mutual fund | ca_CA |
dc.subject | active management | ca_CA |
dc.title | Better Performance of Mutual Funds with Lower R2's Does Not Suggest that Active Management Pays | ca_CA |
dc.type | info:eu-repo/semantics/article | ca_CA |
dc.identifier.doi | http://dx.doi.org/10.1561/104.00000131 | |
dc.rights.accessRights | info:eu-repo/semantics/openAccess | ca_CA |
dc.type.version | info:eu-repo/semantics/publishedVersion | ca_CA |
project.funder.name | Ministerio de Economía y Competitividad, España | ca_CA |
project.funder.name | Universitat Jaume I | ca_CA |
oaire.awardNumber | ECO2017-85746-P | ca_CA |
oaire.awardNumber | UJI-B2017-14 | ca_CA |
Ficheros en el ítem
Este ítem aparece en la(s) siguiente(s) colección(ones)
-
COFIN_Articles [218]