Listar Departament: Finances i Comptabilitat por autoría "f8eab1dc-967a-4626-b083-09550be08e39"
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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 ... -
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 ...
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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, ... -
On management risk and price in the mutual fund industry: style and performance distribution analysis
Palgrave Macmillan (2021-06-01)This study shows how investing in mutual funds involves an additional risk, which we call management risk as a consequence of the uncertainty in the results of active management. To address this issue, we analyze a sample ...
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On the comparative performance of socially responsible and islamic mutual funds
Elsevier (2013-07)This is the first study to provide comprehensive analyses of the relative performance of both socially responsible investment (SRI) and Islamic mutual funds. The analysis proceeds in two stages. In the first, the performance ...
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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 ...
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Performance of Ethical Mutual Funds in Spain: Sacrifice or Premium?
Springer Netherlands (2008-08)There is currently much debate in the economic literature about whether ethical investment involves a financial sacrifice or premium. One of the most common methods of testing this compares the financial performance of ...
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Socially (ir)responsible investing? The performance of the VICEX Fund from a business cycle perspective
Elsevier (2016-02)We assess the performance of the VICEX Fund, which lies at the opposite end of the spectrum to socially responsible mutual funds (SRMF). This fund is morally controversial due to its higher return premium on investments ...
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The demand for structured products: an experimental approach
Wiley (2014)Guaranteed investment funds are showing an important growth in the mutual fund industry. We analyze this type of fund’s demand using the experimental methodology. Different types of structured guaranteed funds, with ...
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The investor’s choice between active and index funds
Universidad Camilo José Cela (2018)This study compares the performance of actively-managed mutual funds and index funds. For a large sample of US domestic equity share-class funds, we analyze the relation between portfolio turnover and fund risk-adjusted ...
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The role of passive effects in the relationship between active management and short-term performance: Evidence from mutual fund portfolio holdings
Elsevier (2024)This study proposes a new method to measure active management in a given quarter based on the correlation between fund returns and the returns of a passively-managed synthetic portfolio emulating fund portfolio holdings. ...
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Why is timing perverse?
Taylor & Francis (2015)The existence of negative market timing, even for passive portfolios, poses a relevant puzzle when assessing portfolio management. In this paper, we develop a simple theoretical model so as to explain why such perverse ...
