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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 ...
Market risk aversion under volatility shifts: An experimental study
(Elsevier, 2022-03-15)
We propose an experiment to analyze the relationship between volatility regimes and investors’ behavior and explore the mechanism by which aggregated risk aversion is configured. We design a market in which the volatility ...