We use daily geometric mean returns to investigate abnormal returns in mutual funds by applying four well known models, namely the CAPM, three-moment CAPM, Fama and French (1993) three-factor and Carhart (1997) four-factor models under different economic cycles and over different fund...

We use daily geometric mean returns to investigate abnormal returns in mutual funds by applying four well known models, namely the CAPM, three-moment CAPM, Fama and French (1993) three-factor and Carhart (1997) four-factor models under different economic cycles and over different fund...

Since the introduction of modern portfolio theory by Roy (1952), Markowitz (1952) and Sharpe (1964) about half a century ago, the allocation of investment weights among various assets in a portfolio is one of the most important areas of research in finance. However, we are not aware of any study...