Showing 1 - 10 of 18
Purpose -The purpose of this paper is to examine the value of active fund management using a sample of hybrid mutual funds. Design/methodology/approach - Instead of using traditional risk-adjusted measures, the paper employs an alternative attribution return methodology where the actual monthly...
Persistent link: https://www.econbiz.de/10010814812
We examine whether explicitly controlling for the fixed-income exposure of mutual funds affects conclusions drawn in performance assessment. We focus on daily return data from two hybrid mutual fund samples. Comparing abnormal performance estimates from the Carhart (1997) model to extensions...
Persistent link: https://www.econbiz.de/10005743992
Purpose – The purpose of this paper is to examine the value of active fund management using a sample of hybrid mutual funds. Design/methodology/approach – Instead of using traditional risk‐adjusted measures, the paper employs an alternative attribution return methodology where the actual...
Persistent link: https://www.econbiz.de/10014940029
Purpose: The purpose of this paper is to examine the risk adjusted performance of unit investment trusts (UITs). These UITs are a unique investment vehicle in that the trusts invest in a fixed portfolio of stocks for a predetermined period of time and hold limited cash positions....
Persistent link: https://www.econbiz.de/10012078130
We examine four separate classifications (high quality corporate, general corporate, government Treasury, and general government) of investment grade bond funds over the 1994–2009 period. We verify that distinct differences exist in investment styles across the classifications. We also...
Persistent link: https://www.econbiz.de/10010698305
I examine the stock market timing ability of two samples of hybrid mutual funds. I find that the inclusion of bond indices and a bond timing variable in a multifactor Treynor-Mazuy model framework leads to substantially different conclusions concerning the stock market timing performance of...
Persistent link: https://www.econbiz.de/10005607807
We examine the ability of bond fund managers to shift assets between bonds and cash and across bonds of different maturities in order to capture the changes in their relative returns. As measured by estimated changes in portfolio allocations, we find strong evidence of perverse market timing...
Persistent link: https://www.econbiz.de/10005199022
Persistent link: https://www.econbiz.de/10011658855
Purpose: This study examines the influence of the presidential elections on the behaviour of US investors according to the trading activity of two of the most popular investment vehicles: exchange-traded funds and close-ended funds. Design/methodology/approach: Based on the fact that investors...
Persistent link: https://www.econbiz.de/10012412641
Purpose: This paper aims to examine the relationship between the dividend signaling hypothesis and a firm's life cycle. Design/methodology/approach: The authors use Dickinson's (2011) methodology to develop a proxy for the firm's stages in its life cycle and to examine the relationship between...
Persistent link: https://www.econbiz.de/10012413748