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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 ...
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 ...
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 ...
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 ...
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, ...
Mutual fund performance and changes in factor exposure
(WileySouthern Finance AssociationSouthwestern Finance Association, 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 ...
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. ...
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, ...
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 ...
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 ...