ListarCOFIN_Articles por tema "G11"
Mostrando ítems 1-7 de 7
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A note on market timing: Interim trading and the performance of holdings-based and return-based measures
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 ... -
Mutual fund performance and changes in factor exposure
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 ... -
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 ... -
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 ... -
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 ... -
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. ... -
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 ...