Scholz, Hendrik; Wilkens, Marco - Lehrstuhl für ABWL, Finanzierung und Bankbetriebslehre … - 2006
In this paper we analyze the influence of market climates on mutual fund Sharpe ratios. First, in a theoretical analysis based on a common factor model in performance analysis, we show that a significant bias results from market climate - in addition to the obvious influence of fund management...