Browsing Departament: Finances i Comptabilitat by Source "Critical Finance Review, Volume 12, Issue 1-4, 2023. Special Issue: Volatility and Higher Moments: Articles Overview"
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Better Performance of Mutual Funds with Lower R2's Does Not Suggest that Active Management Pays
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 ...