This paper provides evidence on the use of stochastic discount factors in the evaluation of portfolio performance. First we discuss evaluation in this setting, and relates it to traditional mean-variance analysis. We then use Monte Carlo experiments to examine the small sample properties of...

The performance, and its characteristics, of Swedish-based equity and bond mutual funds are studied in detail. Accounting for survivorship biases, regular equity funds have a slight overperformance, equity funds with certain tax advantages have a negative performance (before tax), and bond funds...

This paper studies the relation between fund performance and fund attributes in the Swedish market. Performance is measured as the alpha in a linear regression of fund returns on several benchmark assets, allowing for time-varying betas. The estimated performance is then used in a cross-sectinal...

Active portfolio management is associated with a costly search for information. This paper provides evidence on how this costly search affects the performance of European-based mutual funds that are actively managed and invest in Asia and Europe. The paper examines both the search for superior...

In this paper, I obtain new measures of the value of active portfolio management by forming replicating portfolios. These measures allow for a separate evaluation of fund managers' strategic and tactical decisions. I also obtain new evidence on the value of trading by decomposing it into...

This paper examines how investor and capital flows into mutual funds in the Swedish pension system are related to fund characteristics. Similarly to U.S. studies, we show that individuals chase past returns and have a strong preference for lower-fee funds. However, our results suggest that past...

This paper studies the relation between fund performance and the fund manager's investment strategy, which is based on the characteristics of the portfolio. The results show that neither momentum characteristics nor the valuation of stocks can explain differences in fund performance. However,...

This paper provides a detailed examination of individuals' active participation in a new public and mandatory defined contribution pension system. The new pension system was launched in the fall of 2000 and entitles Sweden's workforce of 4.4 million individuals to invest part of their individual...

This paper is a selective survey of new or recent methods to extract information about market expectations from asset prices for monetary policy purposes. Traditionally, interest rates and forward exchange rates have been used to extract expected means of future interest rates, exchange rates...

This paper analyzes how bond option prices are affected by different types of monetary policy. Analytical results from a general equilibrium model with sticky wages show that employment or output targeting typically give lower bond option prices than inflation targeting.