The performance of funds by asset management companies needs to be based on an objective benchmark. Studies related to the topic focus on measuring performance using a discrete form that cannot capture precise total efficiency losses. In this study, we propose a continuous approach to compare...

This study aims to explore the potential impact of the anticipated Georgian Real Estate Investment Trusts (REITs) on the performance of investment portfolios. Due to the absence of Georgian REITs, a simulated financial asset representing a Georgian Residential REIT was engineered. The study...

The central issue of this paper is analysis and resulting proposals to help unsophisticated pension participants achieve pension portfolios that match their level of risk aversion when there is a large amount of unexplained heterogeneity in risk aversion. Target date funds are commonly used as...

The problem of investments oriented on sustainability in emerging markets is actual and complex and should be carefully analysed in order to offer the optimal strategies. The sustainable investments based on ESG (environmental - social - governance) criteria could better respond to the global...

The nexus between Information Communication Technology (ICT) and stock market development has been predominantly based on studies of the developed markets and high-income economies of the world. The objective of this study was to examine the causal relationship between ICT adoption and stock...

Since the global financial crisis of 2008, there has been increasing attention on the impact of financial innovation (FI) on the financial services industry. Despite wide consensus on the benefits of innovation to the real economy, the crisis made FI a focus of re-evaluation and...

Investment funds are increasingly investing in other funds. I study the implications of this using Czech fund data from 2011 to 2022. Cross-fund holdings boosted diversification and returns, albeit with increased volatility. Moreover, the funds primarily sold fund shares compared to other assets...

In this paper, I examine the flow and performance of mutual funds in Brazil and their portfolio allocations during the global financial crisis. First, I show that mutual funds exposed to deposits and securities issued by small banks suffered significant outflows, due to the increased risk...

In asset management, the portfolio leverage affects performance, and can be subject to constraints and operational limitations. Due to the possible leverage aversion of the investors, the comparison between portfolio performances can be incomplete or misleading. We propose a procedure to...

This study assesses the effect of fund-level and systemic factors on the performance of mutual funds in the context of changing market conditions. A Markov regime-switching model is used to analyze the performance of 33 South African equity mutual funds from 2006 to 2019. From the results, fund...