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Italian Equity Funds: Efficiency and Performance Persistence

Pelizzon, Loriana; Casarin, Roberto; Piva, Andrea - Dipartimento di Economia, Università Ca' Foscari Venezia - 2008

competitors? In this paper we address these questions and provide a detailed and systematic performance and return persistence … efficiency hypothesis. Moreover, concerning performance persistence, first, we cannot trace out the hot-hand phenomenon on raw … returns. The no persistence effect is fairly robust to: the performance measure, the temporal lag and the different …

Persistent link: https://www.econbiz.de/10005057153

Cash holdings and the performance of European mutual funds

Graef, Frank; Vogt, Pascal; Vonhoff, Volker; Weigert, … - 2018 - This version: February 2018

We investigate the determinants and performance implications of cash holdings for a large sample of actively-managed equity funds domiciled in the European Union (EU). In line with recent evidence from the US, we observe that cash holdings are strongly influenced by a fund's fee structure, past...

Persistent link: https://www.econbiz.de/10011906314

Absolute or relative : the dark side of fund rating systems

Carluccio, Emanuele Maria; Cucurachi, Paolo Antonio; … - In: Journal of financial management, markets and institutions 11 (2023) 1, pp. 1-30

Persistent link: https://www.econbiz.de/10014374903

Retail Superannuation Management in Australia: Risk, Cost and Alpha

Drew, Michael E.; Stanford, Jon D. - School of Economics and Finance, Business School - 2003

In this performance evaluation study, two questions are addressed. First, does Australia’s superannuation management industry deliver returns commensurate with the risk taken? Second, what is the relationship between cost (specifically, the management expense ratio) and performance? The...

Persistent link: https://www.econbiz.de/10005766368

Market Timing and Selectivity: Evidence from Australian Equity Superannuation Funds

Drew, Michael E.; Veeraraghavan, Madhu; Wilson, Vanessa - School of Economics and Finance, Business School - 2002

In this performance evaluation study, two questions are addressed. First, do active fund managers possess macro and micro forecasting skills that deliver superior risk-adjusted returns? Second, what is the nature of market timing/stock selectivity trade off in the generation of alpha? The...

Persistent link: https://www.econbiz.de/10005635687

EL VALOR DE LAS RECOMENDACIONES DE CONSENSO DE LOS ANALISTAS FINANCIEROS EN EL MERCADO DE CAPITALES ESPAÑOL

Sala, Juan Carlos Gómez; Espinosa, Germán López - Instituto Valenciano de Investigaciones Económicas (IVIE) - 2005

In this paper we examine the value of analysts’ stock recommendations in the Spanish capital market in the period 1994-2003, using data from JCF Quant. In every month of the sample period the assets have been classified into five portfolios first attending its consensus recommendations level...

Persistent link: https://www.econbiz.de/10005812840

Portfolio Return Characteristics of Different Industries

Spronk, Jaap; Vliet, Pim van; Pouchkarev, Pouchkarev, I. - Erasmus Research Institute of Management (ERIM), … - 2003

Over the last decade we have witnessed the rise and fall of the so-called new economy stocks. One central question is to what extent these new firms differ from traditional firms. Empirical evidence suggests that stock returns are not normally distributed. In this article we investigate whether...

Persistent link: https://www.econbiz.de/10010730966

A Broadband Vision of the DAX over Time

Hallerbach, Winfried; Spronk, Jaap; Hundack, C.; … - Erasmus Research Institute of Management (ERIM), … - 2002

We present an analysis of the performance of the DAX, German's major stock market index, over the last two years. Our analysis is broader than conventional benchmark approaches because we study the properties of all feasible portfolios, i.e. portfolios composed given the same investment...

Persistent link: https://www.econbiz.de/10010731373

Should Benchmark Indices Have Alpha? Revisiting Performance

Cremers, Martijn; Petajisto, Antti; Zitzewitz, Eric - School of Management, Yale University - 2008

Standard Fama-French and Carhart models produce economically and statistically significant nonzero alphas even for passive benchmark indices such as the S&P 500 and Russell 2000. We find that these alphas primarily arise from the disproportionate weight the Fama-French factors place on small...

Persistent link: https://www.econbiz.de/10008852951

Improving international diversification benefits for US investors

Miralles-Marcelo, José Luis; Miralles-Quirós, María … - In: The North American Journal of Economics and Finance 32 (2015) C, pp. 64-76

There are two main questions that have attracted considerable attention in the financial literature over the last few years: whether international diversification benefits are still substantial in the current context of increasing market correlations and which approach provides better results in...

Persistent link: https://www.econbiz.de/10011264487