Using UK unit trusts data, we analyse the interplay among fund performance, flow changes, portfolio characteristics and managerial replacement. We find that managers with superior performance that is due to sample variation are more likely to be dismissed than are ‘unlucky' managers indicating...

We propose a parsimonious quantile regression framework to learn the dynamic tail behaviors of financial asset returns. Our model captures well both the time-varying characteristic and the asymmetrical heavy-tail property of financial time series. It combines the merits of a popular sequential...