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Fast and slow arbitrage : fund flows and mispricing in the frequency domain

Peress, Joël; Xi, Dong; Kang, Namho - 2020

Persistent link: https://www.econbiz.de/10012300568

Investor-stock decoupling in mutual funds

Ferreira, Miguel A.; Massa, Massimo; Matos, Pedro - In: Management science : journal of the Institute for … 64 (2018) 5, pp. 2144-2163

Persistent link: https://www.econbiz.de/10011874043

Fund flows inducing mispricing of risk in competitive financial markets

Stahmer, Axel - 2015

This paper studies the effect of new fund flows on investment behavior and the resulting equilibrium price of risk. The Small Fund Industry model shows equilibria with overinvestment in unprofitable and underinvestment in profitable investment opportunities. The Large Fund Industry model derives...

Persistent link: https://www.econbiz.de/10011389297

Corporate sustainability in asset pricing models and mutual funds performance measurement

Walker, Thomas J.; Lopatta, Kerstin; Kaspereit, Thomas - In: Financial markets and portfolio management 28 (2014) 4, pp. 363-407

Persistent link: https://www.econbiz.de/10010467393

Why not use SDF rather than beta models in performance measurement?

Gusset, Jonas; Zimmermann, Heinz - In: Financial markets and portfolio management 28 (2014) 4, pp. 307-336

Persistent link: https://www.econbiz.de/10010467437

Performance measurement with selectivity, market and volatility timing

Ferson, Wayne E.; Mo, Haitao - In: Journal of financial economics 121 (2016) 1, pp. 93-110

Persistent link: https://www.econbiz.de/10011590678

A reappraisal of luck versus skill in the cross-section of mutual fund returns

Huang, Rong; Asteriou, Dimitrios; Pouliot, William - In: Journal of economic behavior & organization : JEBO 176 (2020), pp. 166-187

Persistent link: https://www.econbiz.de/10012431397

Cross-sectional alpha dispersion and performance evaluation

Harvey, Campbell R.; Liu, Yan - In: Journal of financial economics 134 (2019) 2, pp. 273-296

Persistent link: https://www.econbiz.de/10012166855

Origins of mutual fund skill : market versus accounting based asset pricing anomalies

Christiansen, Charlotte; Xing, Ran; Xu, Yue - 2020 - This version: December 3, 2020

Persistent link: https://www.econbiz.de/10012433903

Can efficiency of returns be considered as a pricing factor?

Rubio, J. Francisco; Maroney, Neal; Hassan, M. Kabir - In: Computational economics 52 (2018) 1, pp. 25-54

Persistent link: https://www.econbiz.de/10012052920