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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...
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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,...
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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
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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
We examine how speed of information diffusion within mutual fund families affects the performance and trading behavior of the corresponding member mutual funds. Timely information flows within the organization lead to better fund performance, and even more so when information flows across funds...
Persistent link: https://www.econbiz.de/10011167079