ListarUJI: Investigación por tema "G11"
Mostrando ítems 1-12 de 12
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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 ... -
Anatomy of a Stablecoin’s failure: The Terra-Luna case
Elsevier (2023)We quantitatively describe the main events that led to the Terra project’s failure in May 2022. We first review, in a systematic way, news from heterogeneous social media sources; we discuss the fragility of the Terra ...
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Blockchain, sport and fan tokens
Emerald (2023-04-28)Purpose This paper provides a thorough examination of Socios.com, a blockchain platform that integrates token sales with the fan experience in the sports industry. The study focuses on three key aspects: the performance, ...
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FTX’s downfall and Binance’s consolidation: The fragility of centralised digital finance
Elsevier ScienceDirect (2023-07-16)This paper investigates the causes and the consequences of the FTX digital currency exchange’s failure in November 2022. Analysing on-chain data, we report that FTX heavily relied on leveraging and misusing its native ... -
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 ...
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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 ...
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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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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 entry and exit dynamics of the cryptocurrency market
Elsevier (2021-08-05)This paper presents an analysis of the entry and exit dynamics of the cryptocurrency market that focuses on the growth of initial coin offerings during 2015–2020. We used two different datasets: one includes long-lived ...
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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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Which cryptocurrency data sources should scholars use?
Elsevier (2022-02-16)Inspired by Alexander and Dakos (2020), we shed more light on the adequacy of data in the cryptocurrency literature by analysing the scaling properties and underlying processes of the main cryptocurrency databases ...
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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 ...
