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Mutual Fund Performance Evaluation and Best Clienteles

Chrétien, Stéphane - 2017

This paper investigates investor disagreement and clientele effects in performance evaluation by developing a measure that considers the best potential clienteles of mutual funds. In an incomplete market under law-of-one-price and no-good-deal conditions, we obtain an upper bound on admissible...

Persistent link: https://www.econbiz.de/10012970463

Representative Investors Versus Best Clienteles : Performance Evaluation Disagreement in Mutual Funds

Chrétien, Stéphane - 2017

This paper develops a diagnostic tool for candidate performance measures that accounts for investor disagreement in mutual funds. We compare the evaluation for best clienteles, specified by an upper admissible performance bound, to the one for representative investors implicit in twelve models....

Persistent link: https://www.econbiz.de/10012955300

Mutual fund performance evaluation and best clienteles

Chrétien, Stéphane; Kammoun, Manel - In: Journal of financial and quantitative analysis : JFQA 52 (2017) 4, pp. 1577-1604

Persistent link: https://www.econbiz.de/10011928398

Teams Take the Better Risks

Kuon, Bettina; Mathauschek, Barbara; Sadrieh, Abdolkarim - 2000

principles of Expected Utility Theory (EUT) and of Portfolio Selection Theory (PST). The experiment is performed with individuals … providing additional risk that is not compensated by additional expected value. We find that the results of our experiment are …

Persistent link: https://www.econbiz.de/10014182702

Competition in Portfolio Management : Theory and Experiment

Asparouhova, Elena N. - 2012

We develop a new theory of delegated investment whereby managers compete in terms of composition of the portfolios they … across states. An experiment involving about one hundred participants over six weeks broadly supports the theoretical … portfolios closer to Arrow-Debreu securities (as in the theory) and who had better recent performance (an observation unrelated …

Persistent link: https://www.econbiz.de/10013116268

Prices and portfolio choices in financial markets : theory, econometrics, experiments

Bossaerts, Peter L. (contributor); … - 2007

Many tests of asset pricing models address only the pricing predictions - but these pricing predictions rest on portfolio choice predictions which seem obviously wrong. This paper suggests a new approach to asset pricing and portfolio choices, based on unobserved heterogeneity. This approach...

Persistent link: https://www.econbiz.de/10003549745

Mental capabilities, trading styles, and asset market bubbles : theory and experiment

Hefti, Andreas; Heinke, Steve; Schneider, Frédéric - 2016

experiment. We find that individual trading gains and patterns are consistent with our theoretical predictions. Our results …

Persistent link: https://www.econbiz.de/10011526819

The Bull of Wall Street : Experimental Analysis of Testosterone and Asset Trading

Nadler, Amos - 2017

Growing evidence shows that biological factors affect individual financial decisions that could be reflected in financial markets. Testosterone, a chemical messenger especially influential in male physiology, has been shown to affect economic decision making, and is taken as a...

Persistent link: https://www.econbiz.de/10012972194

A Tale of Two Types : Generalists vs. Specialists in Asset Management

Zambrana, Rafael - 2020

Management companies assign some portfolio managers to run funds within a single investment objective, specialists, and others to run funds across several investment objectives, generalists. Our results show that funds achieve higher performance when they appoint superior pickers as specialists...

Persistent link: https://www.econbiz.de/10012855950

Investor Clienteles and Habitat-Based Return Comovements

Kumar, Alok - 2010

This study investigates whether retail and institutional investors concentrate their trading among certain stock categories (i.e., habitats) and whether their trading activities generate return comovements among stocks within those habitats. Our results indicate that both retail and...

Persistent link: https://www.econbiz.de/10013151103