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Mutual funds that track the S&P 500 are popular because they have significantly lower costs than the average, actively managed equity fund. However, a measurable number of investors select index funds with excessive fees and uncompetitive returns. We call this observation the Index Fund...
Persistent link: https://www.econbiz.de/10008484655
This paper reconsiders the conventional use of econometric models, especially identified vector autoregressive models, in guiding monetary policy. The main question I explore is whether these models are seriously flawed because they ignore asymmetries in the business cycles. Toward that end,...
Persistent link: https://www.econbiz.de/10005459066
Persistent link: https://www.econbiz.de/10010770088
This paper reconsiders the conventional use of econometric models, especially identified vector autoregressive models, in guiding monetary policy. The main question I explore is whether these models are seriously flawed because they ignore asymmetries in the business cycles. Toward that end,...
Persistent link: https://www.econbiz.de/10004966227
This note explores the robustness of Hamilton's (Econometrica, 1989) two-regime Markov switching model framework for capturing business-cycle patterns. Applying his exact specification to a revised version of real GNP, I find parameter estimates that are similar to those he reported only when I...
Persistent link: https://www.econbiz.de/10004966228
This note explores the robustness of Hamilton's (Econometrica, 1989) two-regime Markov switching model framework for capturing business-cycle patterns. Applying his exact specification to a revised version of real GNP, I find parameter estimates that are similar to those he reported only when I...
Persistent link: https://www.econbiz.de/10005246313
Persistent link: https://www.econbiz.de/10001769607
Persistent link: https://www.econbiz.de/10001769721
Given recent regulatory inquiries into the derivative-trading practices of mutual funds, we examine their detailed option holdings to assess how mutual funds employ options, what funds use options, and how that affects performance and risk. Mutual funds’ use of options appears consistent with...
Persistent link: https://www.econbiz.de/10011118057
We relate the performance of mutual fund trades to their motivation. A fund manager who buys stocks when there are heavy investor outflows is likely to be motivated by the belief that the stocks are significantly undervalued. In contrast, when there are heavy inflows, the manager is likely to be...
Persistent link: https://www.econbiz.de/10005564053