Search Results - subject:"Style analysis"

Japanese mutual funds before and after the crisis outburst: A style- and performance-analysis

Papadamou, Stephanos; Kyriazis, Nikolaos A.; Mermigka, Lydia - In: International Journal of Financial Studies 5 (2017) 1, pp. 1-20

This paper investigates how mutual funds performed in Japan before and after the 2008 outburst of the global financial crisis, that is during the extension of an extraordinary unconventional monetary policy by the Bank of Japan. Style and performance analyses are employed in order to investigate...

Persistent link: https://www.econbiz.de/10011709025

Japanese mutual funds before and after the crisis outburst : a style- and performance-analysis

Papadamou, Stephanos; Kyriazis, Nikolaos A.; Mermigka, Lydia - In: International Journal of Financial Studies : open … 5 (2017) 1, pp. 1-20

Persistent link: https://www.econbiz.de/10011649298

Dynamic Style Analysis of Brazilian Hedge Funds

Schutt, Isabel Gaio; Caldeira, João F. - In: Análise econômica : revista da Faculdade de Ciências … 34 (2016) 65, pp. 101-129

Persistent link: https://www.econbiz.de/10011548384

Enhanced Versus Traditional Indexation for International Mutual Funds: Evaluating DFA, WisdomTree and RAFI Powershares

Tower, Edward; Lim, Heehyun - Duke University, Department of Economics - 2013

Do enhanced index funds beat traditional ones? The major companies that offer the new enhanced index international mutual funds are Dimensional Fund Advisors (DFA), RAFI, and WisdomTree. A major provider of traditional international index funds is DFA. We compare various enhanced international...

Persistent link: https://www.econbiz.de/10010834079

Return-based Style Analysis in Australian Funds

Faff, Robert; Nguyen, Annette; Ip, Bonnie H.I.; … - In: Multinational Finance Journal 16 (2012) 3-4, pp. 155-188

This study applies return-based style analysis to a sample of Australian managed and superannuation funds, seeking to … compare their asset allocation strategies across different style groups. Style analysis is performed using a rolling window …

Persistent link: https://www.econbiz.de/10010934073

Islamic asset management

Gianfranco, Forte; Marco, Mauri; Federica, Miglietta - In: Banca Impresa Società (2011) 2, pp. 261-296

that the industry is facing to reach a more mature stage of development. We will also consider an indices style analysis to …

Persistent link: https://www.econbiz.de/10011157720

Return Attribution Analysis of the UK Insurance Portfolios

emmanuel, mamatzakis; george, christodoulakis - Volkswirtschaftliche Fakultät, … - 2010

realized and expected losses and expenses, their uncertainty and market power, using the Sharpe (1988, 1992) Style Analysis …

Persistent link: https://www.econbiz.de/10008468151

Predicting Stock Returns in a Cross-Section : Do Individual Firm chatacteristics Matter ?

Shapovalova, Kateryna; Subbotin, Alexander - HAL - 2009

It is a common wisdom that individual stocks' returns are difficult to predict, though in many situations it is important to have such estimates at our disposal. In particular, they are needed to determine the cost of capital. Market equilibrium models posit that expected returns are...

Persistent link: https://www.econbiz.de/10010738511

Predicting Stock Returns in a Cross-Section : Do Individual Firm Characteristics Matter ?.

Shapovalova, Kateryna; Subbotin, Alexander - Centre d'Économie de la Sorbonne, Université Paris 1 … - 2009

Persistent link: https://www.econbiz.de/10004999113

Estimating hedge fund leverage

McGuire, Patrick M; Tsatsaronis, Kostas - Bank for International Settlements (BIS) - 2008

of "regression-based style analysis" and publicly available data on fund returns yield an indicator of the average amount …

Persistent link: https://www.econbiz.de/10005121419