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Kimballs Prudence And Two Fund Separation As Determinants Of Mutual Fund Performance Evaluation
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Book Synopsis Kimball's Prudence and Two-Fund Separation as Determinants of Mutual Fund Performance Evaluation by : Wolfgang Breuer
Download or read book Kimball's Prudence and Two-Fund Separation as Determinants of Mutual Fund Performance Evaluation written by Wolfgang Breuer and published by . This book was released on 2007 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: We consider investors with mean-variance-skewness preferences who aim at selecting one out of F different funds and combining it optimally with the riskless asset and direct stock holdings. Direct stock holdings are either exogenously or endogenously determined. In our theoretical section, we derive and discuss several performance measures for the investor's decision problems with a central role of Kimball's (1990) prudence and of several variants of Sharpe and Treynor measures. In our empirical section, we show that the distinction between exogenous and endogenous stock holding is less important than the issue of skewness preferences. The latter are most relevant for fund rankings, when an investor's skewness preferences are not derived from cubic HARA utility so that the two-fund separation theorem is not valid.
Book Synopsis The Risk Modeling Evaluation Handbook: Rethinking Financial Risk Management Methodologies in the Global Capital Markets by : Greg N. Gregoriou
Download or read book The Risk Modeling Evaluation Handbook: Rethinking Financial Risk Management Methodologies in the Global Capital Markets written by Greg N. Gregoriou and published by McGraw Hill Professional. This book was released on 2010-02-12 with total page 529 pages. Available in PDF, EPUB and Kindle. Book excerpt: Addresses newly exposed weaknesses of financial risk models in the context of market stress scenarios This will be the definitive book for readers looking to improve their approach to modeling financial risk
Book Synopsis Two-Fund Separation and HARA Utility Reconsidered by : Wolfgang Breuer
Download or read book Two-Fund Separation and HARA Utility Reconsidered written by Wolfgang Breuer and published by . This book was released on 2009 with total page 68 pages. Available in PDF, EPUB and Kindle. Book excerpt: The requirement of existing utility with positive first derivative only makes it possible to derive a restricted two-fund separation theorem for portfolio selection problems with HARA utility replacing the original separation theorem of Cass and Stiglitz (1970). We use our findings for a brief re-examination of the asset allocation puzzle of Canner et al. (1997), of the bias-in-beta problem in mutual funds performance evaluation and of the relevance of the standard CAPM without borrowing restrictions. We also present empirical evidence from performance evaluation for investment funds for the only limited validity of the restricted separation theorem.
Book Synopsis The Determinants of the Flow of Funds of Managed Portfolios by : Diane Del Guercio
Download or read book The Determinants of the Flow of Funds of Managed Portfolios written by Diane Del Guercio and published by . This book was released on 2000 with total page 50 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Mutual Funds written by Joan Lamm-Tennant and published by . This book was released on 1995 with total page 264 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis The Cost of Intermediary Spread and the Determinants of Mutual Fund Performance by : Paul J M. Klumpes
Download or read book The Cost of Intermediary Spread and the Determinants of Mutual Fund Performance written by Paul J M. Klumpes and published by . This book was released on 1996 with total page 29 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Alternative Models for Mutual Fund Performance Evaluation by : Li Li
Download or read book Alternative Models for Mutual Fund Performance Evaluation written by Li Li and published by . This book was released on 1998 with total page 538 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Mutual Fund Performance Evaluation Revisited by :
Download or read book Mutual Fund Performance Evaluation Revisited written by and published by . This book was released on 2012 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Mutual Fund Performance Evaluation by : Marlene Evans
Download or read book Mutual Fund Performance Evaluation written by Marlene Evans and published by . This book was released on 2004 with total page 21 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Determinants of Mutual Fund Flows by : Steven Timothy Gallaher
Download or read book Determinants of Mutual Fund Flows written by Steven Timothy Gallaher and published by . This book was released on 2011 with total page 196 pages. Available in PDF, EPUB and Kindle. Book excerpt: I investigate mutual fund flows at the individual fund and at the fund family level. At the individual, I use SEC filings to decompose fund flows into inflows and outflows. This decomposition of net flows into its component parts provides a way to examine differences in how search costs and investor learning affect investors who are entering a fund (or adding to their investments) versus those investors who are leaving a fund (or decreasing their investments). I then examine the effect of the existence of an advertisement for the fund on these investors. At the mutual fund family level, I examine how the characteristics and performance of mutual fund families affect the flows to the family as a whole. I then examine the effects of advertising expenditures on flows to the fund family.
Book Synopsis Mutual Fund Flows and Performance Streaks - How Mutual Fund Selection is Driven by Behavioural Biases by : Kai Aschick
Download or read book Mutual Fund Flows and Performance Streaks - How Mutual Fund Selection is Driven by Behavioural Biases written by Kai Aschick and published by . This book was released on 2017 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This thesis contributes to existing literature by analysing the role of performance streaks in the US mutual fund industry. Existing research suggests that performance streaks, i.e. multiple consecutive months of positive or negative performance, are an important determinant of mutual fund flows. My dataset comprises monthly returns and net-flows from US equity mutual funds from 1996 through 2015. My first analysis shows that streaks are not an indication of performance persistence and should not be used in investment decisions. Next, I develop two forecasting models using streaks based on several different performance metrics, such as excess returns and CAPM-alphas. The first one is a probit model that forecasts future investor sentiment, measured by the sign of future net-flows. This model is very robust to different time period specifications. The second one is a multiple linear regression model that forecasts actual future net- flows. The performance of this model strongly depends on the time period specified, as it performs poorly following the financial crisis. In both models the best-performing specification uses streaks based on CAPM-alphas. However, a Shapley decomposition reveals that streaks are, despite being statistically significant, the least-important predictors of future net-flows. Instead, lagged net-flows are the most-important determinants of future net-flows. The results of this thesis suggest that active streaks tip the scales when investors decide between two or more funds with a comparable track record. Hence, the results presented are ambiguous regarding investor rationality.
Book Synopsis Performance Evaluation of Mutual Fund Investments by : Ioannis D. Vrontos
Download or read book Performance Evaluation of Mutual Fund Investments written by Ioannis D. Vrontos and published by . This book was released on 2008 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: Extending previous work on mutual fund pricing, this paper introduces the idea of modeling the conditional distribution of mutual fund returns using a fat tailed density and a time-varying conditional variance. This approach takes into account the stylized facts of mutual fund return series, that is heteroscedasticity and deviations from normality. We evaluate mutual fund performance using multifactor asset pricing models, with the relevant risk factors being identified through standard model selection techniques. We explore potential impacts of our approach by analyzing individual mutual funds and show that it can be economically important.
Book Synopsis Mutual Fund Performance Measurement, Performance Evaluation and Style Analysis by : Nicola Doninelli
Download or read book Mutual Fund Performance Measurement, Performance Evaluation and Style Analysis written by Nicola Doninelli and published by . This book was released on 2002 with total page 111 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Mutual Funds written by Roger C. Bird and published by . This book was released on 2005-04 with total page 225 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis PERFORMANCE AND DETERMINANTS OF MUTUAL FUNDS THAT AFFECT INVESTMENT DECISIONS by : LI ANNA (TP035750)
Download or read book PERFORMANCE AND DETERMINANTS OF MUTUAL FUNDS THAT AFFECT INVESTMENT DECISIONS written by LI ANNA (TP035750) and published by . This book was released on 2016 with total page 96 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Mutual Fund Performance Evaluation with Active Peer Benchmarks by : David L. Hunter
Download or read book Mutual Fund Performance Evaluation with Active Peer Benchmarks written by David L. Hunter and published by . This book was released on 2013 with total page 54 pages. Available in PDF, EPUB and Kindle. Book excerpt: We propose a simple approach to account for commonalities in mutual fund strategies that relies solely on information on fund returns and investment objectives. Our approach augments commonly used factor models with an additional benchmark that represents an equal investment in all same-category funds, which we call an quot;Active Peer Benchmark,quot; or APB. We find that APBs substantially reduce the average time-series correlation of residuals between individual funds within a group when added to a four-factor equity model (or to a seven-factor xed-income model). Importantly, adding this APB signifi cantly improves the selection of funds with future outperformance.
Book Synopsis Handbook of the Economics of Finance by : G. Constantinides
Download or read book Handbook of the Economics of Finance written by G. Constantinides and published by Elsevier. This book was released on 2003-11-04 with total page 698 pages. Available in PDF, EPUB and Kindle. Book excerpt: Arbitrage, State Prices and Portfolio Theory / Philip h. Dybvig and Stephen a. Ross / - Intertemporal Asset Pricing Theory / Darrell Duffle / - Tests of Multifactor Pricing Models, Volatility Bounds and Portfolio Performance / Wayne E. Ferson / - Consumption-Based Asset Pricing / John y Campbell / - The Equity Premium in Retrospect / Rainish Mehra and Edward c. Prescott / - Anomalies and Market Efficiency / William Schwert / - Are Financial Assets Priced Locally or Globally? / G. Andrew Karolyi and Rene M. Stuli / - Microstructure and Asset Pricing / David Easley and Maureen O'hara / - A Survey of Behavioral Finance / Nicholas Barberis and Richard Thaler / - Derivatives / Robert E. Whaley / - Fixed-Income Pricing / Qiang Dai and Kenneth J. Singleton.
