The impact of portfolio disclosure on hedge fund performance
Sign Up to like & getrecommendations! Published in 2017 at "Journal of Financial Economics"
DOI: 10.1016/j.jfineco.2017.06.001
Abstract: Consistent with the argument that portfolio disclosure reveals trade secrets, a difference-in-differences estimation suggests a drop in fund performance after a hedge fund begins filing Form 13F as well as an increase in return correlations… read more here.
Keywords: portfolio disclosure; hedge fund; performance; fund ... See more keywords
New Evidence on Mutual Fund Performance: A Comparison of Alternative Bootstrap Methods
Sign Up to like & getrecommendations! Published in 2017 at "Journal of Financial and Quantitative Analysis"
DOI: 10.1017/s0022109017000229
Abstract: We compare two bootstrap methods for assessing mutual fund performance. The first produces narrow confidence intervals due to pooling over time, whereas the second produces wider confidence intervals because it preserves the cross correlation of… read more here.
Keywords: bootstrap methods; fund performance; mutual fund; fund ... See more keywords
Benchmark Discrepancies and Mutual Fund Performance Evaluation
Sign Up to like & getrecommendations! Published in 2021 at "Journal of Financial and Quantitative Analysis"
DOI: 10.1017/s0022109021000119
Abstract: Abstract We introduce a new holdings-based procedure to identify whether a mutual fund has a benchmark discrepancy, which we define as a benchmark other than the prospectus benchmark best matching a fund’s investment strategy. We… read more here.
Keywords: fund performance; benchmark; mutual fund; benchmark discrepancies ... See more keywords
Fund Managers’ Association Networks, Information Sharing and Fund Performance
Sign Up to like & getrecommendations! Published in 2019 at "Applied Economics Letters"
DOI: 10.1080/13504851.2019.1646400
Abstract: ABSTRACT This article studied the social network of fund managers based on their historical working relationships, and investigated how these relations influenced their information sharing as well as the fund performance. We found that (i)… read more here.
Keywords: information sharing; fund managers; fund performance; fund ... See more keywords
A Study on Environmental, Social and Governance Fund Performance and Fund Flow: Evidence From Korea Stock Exchange
Sign Up to like & getrecommendations! Published in 2022 at "Frontiers in Psychology"
DOI: 10.3389/fpsyg.2021.811099
Abstract: This study analyzed the sensitivity between fund flow and fund performance with Korean funds, whether there would be a difference in the sensitivity between environmental, social and governance (ESG) funds and non-ESG funds, and whether… read more here.
Keywords: sensitivity; fund; fund flow; fund performance ... See more keywords