ListarDepartament: Finances i Comptabilitat por tema "mutual fund"
Mostrando ítems 1-13 de 13
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Active Management and Mutual Fund Performance
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
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 ...
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Cash management and performance of index mutual funds
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 ...
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Cost and performance of carbon risk in socially responsible mutual funds
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 ...
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Does active management add value? New evidence from a quantile regression approach
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 ...
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Ethical strategy focus and mutual fund management: Performance and persistence
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 ...
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Institutional investment management: An investor's perspective on the relation between turnover and performance
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 ...
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Investing in mutual funds: the determinants of implied and actual net cash flows
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 ...
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Investor behavior and the demand for conventional and socially responsible mutual funds
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 ...
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Looking for sustainable development: Socially responsible mutual funds and the low‐carbon economy
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 ... -
Mutual fund performance attribution and market timing using portfolio holdings
Elsevier (2018-09)We propose a novel performance attribution model for equity fund portfolios. The model analyses investment decisions based on portfolio holdings and measures the value added from different sources of performance such as ...
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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. ...
