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Nanigian, David - In: Financial services review : the journal of individual … 23 (2014) 4, pp. 361-383

Persistent link: https://www.econbiz.de/10011392044

Climate Sensitivity and Mutual Fund Performance

Ho, Thang - 2021 - This version: October 2021

In the presence of rising concern about climate change that potentially affects risk and return of investors’ portfolio … companies, active investors might have dispersed climate risk exposures. We compute mutual fund covariance with market ….24% per month on a risk-adjusted basis. High climate beta funds tilt their holdings toward stocks with high potential to hedge …

Persistent link: https://www.econbiz.de/10013229876

The perils of performance measurement in the German mutual-fund industry

Böhme, Philip; Pohl, Walter; Schmedders, Karl - 2013

We document a curious feature of the German mutual fund industry. Unlike U.S. mutual funds, funds domiciled in Germany do not necessarily compute their net asset values (NAV) as of market close. Using a sample of German equity funds, we infer each fund's NAV closing time from the best-fit market...

Persistent link: https://www.econbiz.de/10009751161

Financial risk and better returns through smart beta exchange-traded funds?

Bowes, Jordan; Ausloos, Marcel - In: Journal of risk and financial management : JRFM 14 (2021) 7, pp. 1-30

offer a better risk-return trade-off than traditionally structured passive indices. Yet, research covering the performance … performance and risk. The measures chosen are the Annualised Total Return, the Annualised Volatility, the Annualised Sharpe Ratio … and momentum, are able to certify better risk-adjusted returns. …

Persistent link: https://www.econbiz.de/10012622400

Institutional Investors, Heterogeneous Benchmarks and the Comovement of Asset Prices

Buffa, Andrea M - 2018

We study the equilibrium implications of a multi-asset economy in which asset managers are subject to different benchmarks, and demonstrate how heterogeneous benchmarking generates a mechanism through which fundamental shocks propagate across assets. Fluctuations in asset managers' capital...

Persistent link: https://www.econbiz.de/10012910534

Delegated portfolio management, optimal fee contracts, and asset prices

Sato, Yuki - 2015

managers and investors strategically interact to determine funds' investment profiles, while they share portfolio risk through …

Persistent link: https://www.econbiz.de/10011293478

Mutual fund performance in changing economic conditions : evidence from an emerging economy

Agarwal, Pankaj K.; Pradhan, H. K. - In: Cogent economics & finance 7 (2019) 1, pp. 1-24

which presupposes fixed sensitivity of risk exposure of a fund to its market proxy (beta). However, changing economic …

Persistent link: https://www.econbiz.de/10014232629

International characteristic-based asset pricing

Jagannathan, Murali; Jiao, Wei; Wermers, Russ - 2020 - This version: August 2019

In this paper, we develop characteristic-based asset-pricing models for international stocks. We price stocks using passive portfolios created based on observable characteristics: market capitalization, book-to-market, prior-year return, growth of total assets, and operating profitability, each...

Persistent link: https://www.econbiz.de/10012387428

Does Mutual Fund Illiquidity Introduce Fragility into Asset Prices? Evidence from the Corporate Bond Market

Jiang, Hao - 2020

Open-end mutual funds have grown to become a key player in the corporate bond market. They invest in illiquid bonds but provide liquid claims to shareholders. Does such liquidity transformation introduce fragility to the corporate bond market? To address this question, we create a novel measure...

Persistent link: https://www.econbiz.de/10012846220

A Rational Asset Pricing Model for Premiums and Discounts on Closed-End Funds : The Bubble Theory

Jarrow, Robert A. - 2017

This paper provides a new explanation for closed-end fund (CEF) discounts and premiums using the local martingale theory of asset price bubbles. This is a rational asset pricing model that is shown to be consistent with the existing empirical evidence on CEF discounts/premiums. Additional...

Persistent link: https://www.econbiz.de/10012960808