We compare the risk-adjusted performance of stock-bond portfolios between rebalancing and buy-and-hold across different asset allocations by reporting statistical significance levels. Our investigation is based on a 30-year dataset and in-corporates the financial markets of the United States,...

We investigate the performance of a sample of German mutual equity funds over the period from 1994 to 2003. Our general finding is that mutual funds, on average, hardly produce excess returns relative to their benchmark that are large enough to cover their expenses. This conclusion is drawn from...

This paper investigates the impact of individual bank fundamental variables on stock market returns using data from a panel of 235 European banks from 1991 to 2005. The sample period marks a significant transition in the European banking sector, characterized by higher competition, lower profit...

Stock investments have become increasingly international, but only recently a deeper theoretical understanding of the forces influencing global stock market returns has been gained from empirical studies. This is a crucial issue for asset managers in order to control the risks and exposures of...

A measurement error in beta that arises from changes in leverage during the beta estimation window contributes in explaining the size effect. Simulations of asset returns show that the magnitude of the bias in equity returns is proportional to the stock market-induced changes in leverage. We...