Read Books Online and Download eBooks, EPub, PDF, Mobi, Kindle, Text Full Free.
An Empirical Study On Fund Managers Characteristics Stock Holding Characteristics And Double Adjusted Returns Of Equity Funds Evidence From The Equity Mutual Funds In Taiwan
Download An Empirical Study On Fund Managers Characteristics Stock Holding Characteristics And Double Adjusted Returns Of Equity Funds Evidence From The Equity Mutual Funds In Taiwan full books in PDF, epub, and Kindle. Read online An Empirical Study On Fund Managers Characteristics Stock Holding Characteristics And Double Adjusted Returns Of Equity Funds Evidence From The Equity Mutual Funds In Taiwan ebook anywhere anytime directly on your device. Fast Download speed and no annoying ads. We cannot guarantee that every ebooks is available!
Book Synopsis An Empirical Study on Fund Managers' Characteristics, Stock Holding Characteristics and Double-Adjusted Returns of Equity Funds: Evidence from the Equity Mutual Funds in Taiwan by : 解偉成
Download or read book An Empirical Study on Fund Managers' Characteristics, Stock Holding Characteristics and Double-Adjusted Returns of Equity Funds: Evidence from the Equity Mutual Funds in Taiwan written by 解偉成 and published by . This book was released on 2019 with total page 36 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Do Firm Characteristics Influence Mutual Fund Performance? An Empirical Study for European Mutual Funds by : Frank de Jong
Download or read book Do Firm Characteristics Influence Mutual Fund Performance? An Empirical Study for European Mutual Funds written by Frank de Jong and published by . This book was released on 2017 with total page 14 pages. Available in PDF, EPUB and Kindle. Book excerpt: This study investigates the influence of fund management firm characteristics on mutual fund performance. Using a sample of European-domiciled open-end equity funds for the period 1998-2008, this study finds that the funds of private companies have performed better than the funds of public companies. The degree of focus, the volume of assets under management, and the number of funds offered by a fund management firm also have a positive impact on fund performance. In addition to these four firm characteristics, we find that non-European and U.K. fund managers had better-performing funds.
Book Synopsis Empirical Analysis of Mutual Funds investing in German Equity (1995-2015) by : Carsten Fritz
Download or read book Empirical Analysis of Mutual Funds investing in German Equity (1995-2015) written by Carsten Fritz and published by GRIN Verlag. This book was released on 2016-10-21 with total page 70 pages. Available in PDF, EPUB and Kindle. Book excerpt: Master's Thesis from the year 2016 in the subject Economics - Finance, grade: 1,3, University of Regensburg (Centre of Finance), language: English, abstract: Financial markets are as complex as ever due to an accelerating development in the last decades. Especially evaluations of mutual fund performance have been a subject of interest since the introduction of financial services. In this thesis, a study on the performance of mutual funds investing in German equity from July 1995 to June 2015 is conducted. The aim is to find out if fund managers have sufficient skill to generate risk adjusted return in order to cover the cost imposed on the investors. Another purpose is to provide investors with relevant results. Inter alia, Jensen one-factor, Fama and French three-factor and the Carhart four-factor model are used as different benchmark models for performance. Paired bootstrap simulations suggest that, net of cost, a small fraction of fund managers do have sufficient skill to cover cost. For the bottom ranked funds, there is statistical evidence that their poor performance is caused by bad management, rather than by bad luck. The results for gross returns show that there is an unneglectable fraction of fund managers with good performance not due to luck. Compared to net returns, there is stronger evidence of skill, negative as well as positive. Form an investor’s point of view it seems rather beneficial to invest in passively managed vehicles. High costs eat into the return, and they are the main reason why the majority of actively managed funds end up with sub-par performance.
Book Synopsis An Empirical Study of Mutual Fund Manager's Characteristics by : Tung Kenny Chow
Download or read book An Empirical Study of Mutual Fund Manager's Characteristics written by Tung Kenny Chow and published by . This book was released on 2007 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: To promote market efficiency, analysts must first study the causes of inefficiency. Because some mutual fund managers exhibit consistently superior performance, this paper uses the characteristics of funds and its managers to explain the cause of superior performance. Although differences in manager characteristics can cause different systematic behavioural patterns, the data is not readily available to the public, and more investigation is required. By examining manager characteristics in relation to their funds, the results of this paper suggest that investors should purchase those funds with low expense and that are managed by managers from high-SAT schools.
Book Synopsis Value versus Growth - An Empirical Analysis of Equity Fund Managers ́ Capabilities to Generate Alpha by : Thomas Müller
Download or read book Value versus Growth - An Empirical Analysis of Equity Fund Managers ́ Capabilities to Generate Alpha written by Thomas Müller and published by GRIN Verlag. This book was released on 2012-04-25 with total page 62 pages. Available in PDF, EPUB and Kindle. Book excerpt: Bachelor Thesis from the year 2012 in the subject Business economics - Business Management, Corporate Governance, grade: 1,00, EBS European Business School gGmbH, language: English, abstract: Portfolio managers face the challenge to achieve excess returns comparative to a benchmark for their private or institutional clients. Researchers such as Fama and French (1992, 1996) or Lakonishok, Shleifer, and Vishny (1994) caused a stir with their findings that various investment styles tend to accomplish superior returns over a long-term horizon. Their findings proposed that value stocks tend to outperform growth stocks. This bachelor thesis raises the question whether value or growth fund managers are able to achieve a persistent outperformance relative to their internal and external benchmark. The findings have a crucial influence on investors considering an investment into the equity market by an active or passive portfolio management approach.
Book Synopsis Portfolio Preferences of Foreign Institutional Investors by : Reena Aggarwal
Download or read book Portfolio Preferences of Foreign Institutional Investors written by Reena Aggarwal and published by World Bank Publications. This book was released on 2003 with total page 47 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Heterogeneity and Persistence in Returns to Wealth by : Andreas Fagereng
Download or read book Heterogeneity and Persistence in Returns to Wealth written by Andreas Fagereng and published by International Monetary Fund. This book was released on 2018-07-27 with total page 69 pages. Available in PDF, EPUB and Kindle. Book excerpt: We provide a systematic analysis of the properties of individual returns to wealth using twelve years of population data from Norway’s administrative tax records. We document a number of novel results. First, during our sample period individuals earn markedly different average returns on their financial assets (a standard deviation of 14%) and on their net worth (a standard deviation of 8%). Second, heterogeneity in returns does not arise merely from differences in the allocation of wealth between safe and risky assets: returns are heterogeneous even within asset classes. Third, returns are positively correlated with wealth: moving from the 10th to the 90th percentile of the financial wealth distribution increases the return by 3 percentage points - and by 17 percentage points when the same exercise is performed for the return to net worth. Fourth, wealth returns exhibit substantial persistence over time. We argue that while this persistence partly reflects stable differences in risk exposure and assets scale, it also reflects persistent heterogeneity in sophistication and financial information, as well as entrepreneurial talent. Finally, wealth returns are (mildly) correlated across generations. We discuss the implications of these findings for several strands of the wealth inequality debate.
Book Synopsis Artificial Intelligence in Asset Management by : Söhnke M. Bartram
Download or read book Artificial Intelligence in Asset Management written by Söhnke M. Bartram and published by CFA Institute Research Foundation. This book was released on 2020-08-28 with total page 95 pages. Available in PDF, EPUB and Kindle. Book excerpt: Artificial intelligence (AI) has grown in presence in asset management and has revolutionized the sector in many ways. It has improved portfolio management, trading, and risk management practices by increasing efficiency, accuracy, and compliance. In particular, AI techniques help construct portfolios based on more accurate risk and return forecasts and more complex constraints. Trading algorithms use AI to devise novel trading signals and execute trades with lower transaction costs. AI also improves risk modeling and forecasting by generating insights from new data sources. Finally, robo-advisors owe a large part of their success to AI techniques. Yet the use of AI can also create new risks and challenges, such as those resulting from model opacity, complexity, and reliance on data integrity.
Book Synopsis The Handbook of Equity Style Management by : T. Daniel Coggin
Download or read book The Handbook of Equity Style Management written by T. Daniel Coggin and published by John Wiley & Sons. This book was released on 2003-04-07 with total page 514 pages. Available in PDF, EPUB and Kindle. Book excerpt: A fully updated guide to equity style management Pioneered by Nobel laureate William Sharpe, equity style management is derived from a correlation analysis of various equity style categories, such as value, growth, small cap, large cap and foreign stocks. In the Third Edition of The Handbook of Equity Style Management, twenty contributors from industry and academia help readers understand various equity style management issues, including equity style indices, different approaches to equity style measurement, foreign stock investing, tactical style management, behavioral aspects of equity style, and equity style benchmarks for manager selection and performance attribution. This updated edition gives readers the rationale behind equity style management, and shows how new strategies can be used to manage risk and improve returns.
Book Synopsis Portfolio Performance Evaluation by : George O. Aragon
Download or read book Portfolio Performance Evaluation written by George O. Aragon and published by Now Publishers Inc. This book was released on 2008 with total page 123 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper provides a review of the methods for measuring portfolio performance and the evidence on the performance of professionally managed investment portfolios. Traditional performance measures, strongly influenced by the Capital Asset Pricing Model of Sharpe (1964), were developed prior to 1990. We discuss some of the properties and important problems associated with these measures. We then review the more recent Conditional Performance Evaluation techniques, designed to allow for expected returns and risks that may vary over time, and thus addressing one major shortcoming of the traditional measures. We also discuss weight-based performance measures and the stochastic discount factor approach. We review the evidence that these newer measures have produced on selectivity and market timing ability for professional managed investment funds. The evidence includes equity style mutual funds, pension funds, asset allocation style funds, fixed income funds and hedge funds.
Book Synopsis Performance and Characteristics of Actively Managed Institutional Equity Mutual Funds by : H. Kent Baker
Download or read book Performance and Characteristics of Actively Managed Institutional Equity Mutual Funds written by H. Kent Baker and published by . This book was released on 2016 with total page 36 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this study, we provide extensive evidence on the performance characteristics of 1,118 U.S. domestic, actively managed institutional equity mutual funds. We measure performance using such measures as three-year Sharpe ratios, Jensen's alphas, and Miller's active alphas as well as annualized Russell Index-adjusted returns over multiple periods (1, 3, 5, 10, 15 years). We relate performance to fund attributes including expense ratio class, net assets, 12b-1 fees dummy, turnover ratio, beta, cash, and dividend yield.We analyze the disparity of expense ratios of actively managed institutional equity mutual funds and find that expense ratios differ widely among Morningstar categories. Consistent with previous mutual fund studies, we find strong evidence that the average actively managed institutional equity mutual fund cannot beat a representative benchmark after expenses.
Book Synopsis Mutual Fund Equity Holdings and a Flight to Safety by : Kristina M. Huston
Download or read book Mutual Fund Equity Holdings and a Flight to Safety written by Kristina M. Huston and published by . This book was released on 2015 with total page 21 pages. Available in PDF, EPUB and Kindle. Book excerpt: By analyzing United States open-end mutual fund holding data from 2002-2010, this paper predicts that flight-to-safety patterns did occur within these funds during and following the Financial Crisis. This paper analyzes and tests flight-to-safety patterns by examining four value-weighted firm level risk characteristics; beta, dividend yield, debt-to-equity ratio, and book-to-market ratio. The shift of these risk characteristics within mutual fund portfolio equity holdings is analyzed by both aggregating the data, as well as quarterly regression analysis. The aggregated data is separated by fund style, and three separate time periods, defined as pre-crisis, crisis, and post-crisis. The results of the aggregated data suggest that any shift seen within mutual fund portfolios was not driven by any one style of mutual fund, but movements were present across all funds. The findings evidence flight-to-safety patterns based on analysis of beta and dividend yield. However, the same flight-to-safety patterns are not clear in the analysis of debt-to-equity and book-to-market ratios.
Book Synopsis Is a Team Different from the Sum of its Parts? Evidence from Mutual Fund Managers by : Michaela Baer
Download or read book Is a Team Different from the Sum of its Parts? Evidence from Mutual Fund Managers written by Michaela Baer and published by . This book was released on 2011 with total page 43 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper provides the first empirical test of the diversification of opinion theory and the group shift theory using real business data. Our data set covers management teams and single managers of US equity mutual funds. Our results reject the group shift theory and support the diversification of opinion theory: extreme opinions of single team managers average out and, consequently, teams take less extreme decisions than individuals do. We find that teams follow less extreme investment styles than single managers and that teams are eventually less likely to achieve extreme performance outcomes. These results hold after taking into account the impact of fund characteristics and team characteristics.
Book Synopsis Equity Returns and the Fund Flow Sensitivity Premium by : Abhiroop Mukherjee
Download or read book Equity Returns and the Fund Flow Sensitivity Premium written by Abhiroop Mukherjee and published by . This book was released on 2016 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: We empirically identify stocks which make flows into mutual funds holding them more performance-sensitive, and show that fund managers dislike holding these stocks; these stocks earn positive abnormal returns of around 3.5% annually; and, the sensitivity premium has increased over time as the mutual fund sector has grown. Higher flow-performance sensitivity seems to be induced by small, hard-to-value stocks with low analyst coverage and less liquidity; but, abnormal returns to sensitive stocks are not subsumed by these underlying characteristics. Finally, falsification tests show that aversion to sensitive stocks is more related to managerial exposure to investor-driven flows, rather than liquidity-preference.
Book Synopsis Do Social Factors Influence Investment Behavior and Performance? Evidence from Mutual Fund Holdings by : Arian Borgers
Download or read book Do Social Factors Influence Investment Behavior and Performance? Evidence from Mutual Fund Holdings written by Arian Borgers and published by . This book was released on 2015 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: We study the economic significance of social dimensions in investment decisions by analyzing the holdings of U.S. equity mutual funds over the period 2004-2012. Using these holdings, we measure funds' exposures to socially sensitive stocks in order to answer two questions. What explains cross-sectional variation in mutual funds' exposure to controversial companies? Does exposure to controversial stocks drive fund returns? We find that exposures to socially sensitive stocks are weaker for funds that aim to attract socially conscious and institutional investor clientele, and they relate to local political and religious factors. The financial payoff associated with greater “sin” stock exposure is positive and statistically significant, but becomes non-significant with broader definitions of socially sensitive investments. Despite the positive relation between mutual fund return and sin stock exposure, the annualized risk-adjusted return spread between a portfolio of funds with highest sin stock exposure and its lowest-ranked counterpart is statistically not significant. The results suggest that fund managers do not tilt heavily towards controversial stocks because of social considerations and practical constraints.
Book Synopsis Do Social Factors Influence Investment Behaviour and Performance? by : Arian Borgers
Download or read book Do Social Factors Influence Investment Behaviour and Performance? written by Arian Borgers and published by . This book was released on 2015 with total page 51 pages. Available in PDF, EPUB and Kindle. Book excerpt: We study the economic significance of social dimensions in investment decisions by analyzing the holdings of U.S. equity mutual funds over the period 2004-2012. Using these holdings, we measure funds' exposures to socially sensitive stocks in order to answer two questions. What explains cross-sectional variation in mutual funds' exposure to controversial companies? Does exposure to controversial stocks drive fund returns? We find that exposures to socially sensitive stocks are weaker for funds that aim to attract socially conscious and institutional investor clientele, and they relate to local political and religious factors. The financial payoff associated with greater "sin" stock exposure is positive and statistically significant, but becomes non-significant with broader definitions of socially sensitive investments. Despite the positive relation between mutual fund return and sin stock exposure, the annualized risk-adjusted return spread between a portfolio of funds with highest sin stock exposure and its lowest-ranked counterpart is statistically not significant. The results suggest that fund managers do not tilt heavily towards controversial stocks because of social considerations and practical constraints.
Book Synopsis Mutual Fund Performance and Performance Persistence by : Peter Lückoff
Download or read book Mutual Fund Performance and Performance Persistence written by Peter Lückoff and published by Springer Science & Business Media. This book was released on 2011-01-13 with total page 604 pages. Available in PDF, EPUB and Kindle. Book excerpt: Peter Lückoff investigates why fund flows and manager changes act as equilibrium mechanisms and drive the performance of both previously outperforming and previously underperforming funds back to average levels.
