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Mutual fund performance: dividends do matter
(Taylor & Francis, 2015)
This article studies the bias in mutual fund performance when a nondividend-reinvesting benchmark is used. Our empirical findings show how performance worsens when using a benchmark that includes reinvestment dividends. ...
Influencia de la rentabilidad en el proceso de selección en los planes de pensiones en España: un análisis de sensibilidadThe influence of returns on the pension fund selection process in Spain: A sensibility analysis
(Asociación Española de Contabilidad y Administración de Empresas, 2008)
El objetivo del presente trabajo es doble: por un lado analizar los factores que inducen a
un inversor a seleccionar un plan de pensiones concreto y por otro determinar si dichos inversores poseen
habilidades de selección. ...
Non-simultaneous market timing in mutual funds
(Asian Network for Scientific Information, 2009)
The objective and contribution of this study is to analyse market timing over non-simultaneous periods. This approach considers that decisions on portfolio risk could affect the fund return in subsequent periods and not ...
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 ...
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 ...
Do investors in Spain react to news on sustainability and corporate social responsibility?
(Inderscience Enterprises, 2009)
We analyse whether sustainability and corporate social responsibility-related news affects returns of stocks traded on the Spanish stock market. We used event methodology and an approach consistent with the active management ...
On the robustness of persistence in mutual fund performance
(Elsevier, 2016)
This paper analyzes persistence in US equity mutual fund performance over the period 1990–2015. We apply commonly used measures of persistence, which we test using a set of simulated passive funds. In the first stage we ...