Fund Rating Systems and Performance Predictability
نویسندگان
چکیده
منابع مشابه
Fund Performance
This note reviews the literature on fund performance. A practical way of gauging market efficiency is to attempt to identify above-average risk-adjusted returns from one or more market participants that are the result of skill, as opposed to luck. If any such returns are identified, then the market is not efficient. In practice, such a test is best performed by seeking persistence in the return...
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It is well-known that the level of closed-end fund discounts appears to predict the corresponding fund’s future returns. We further document that such predictability decays slowly. The popular explanations, including the tax effect, investor sentiment risk, and the funds’s dividend yield, do not fully account for the observed predictability. At the same time, discounts are very persistent espec...
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This paper examines the impact of hedge fund redemption restrictions such as lockup period, notice period, and redemption period on fund flow, risk, and performance. We first examine the effects of redemption restrictions conditional on past poor performance. We then examine the differential impact of redemption restrictions under different market conditions. We find that during normal periods,...
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We examine the level of share dealing activity of UK long-term institutional funds and, for UK pension funds, assess the impact of this dealing activity on investment performance. The analysis is carried out using annual returns and activity from the WM Universe of UK funds. Previous published research has concentrated mainly on US mutual funds and has generally reported no relationship between...
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We analyze hedge fund performance using the stochastic discount factor (SDF) approach and imposing the arbitrage-free requirement to correctly value the derivatives and dynamic trading strategies used by hedge funds. Using SDFs of many asset-pricing models, we evaluate hedge fund portfolios based on style and characteristics. Without the arbitrage-free requirement, pricing errors are relatively...
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ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2008
ISSN: 1556-5068
DOI: 10.2139/ssrn.1121383