In this article, we investigated the volatility of Chinese open-end funds market by using Zhongxin open-end funds index. According to the characteristics of different GARCH models, we empirically studied GARCH, EGARCH and GARCH_M model. The result indicated that GARCH (1, 1) model and GARCH_M (1, 1) model could better fit the characteristics of the index return rate. At the same time, the resul...

JOT YAU IS a professor of finance at Mbers School of Business .iiid Economics. Seattle University in Seattle, WA. ,[email protected] T he significant growth of the hedge funds industry in the past decade has heen supplemented by increased allocations to alternative investments by high-net-worth individuals as well as endowments and foundations. In recetit years, there has been a steady shift i...

This paper discusses the factors influencing return of mutual funds. It takes monthly funds as a dependent variable, and three kinds potential factors, which are characteristics funds, managers market independent variables.

Abstract The return expectations of public pension funds are positively related to cross-sectional differences in past performance. This positive relation operates through the expected risk premium, rather than risk-free rate or inflation rate. Pension act on their beliefs and adjust portfolio composition accordingly. Persistent investment skills, taking, efforts reduce costly rebalancing, fisc...

We document that the observed persistence amongst the worst performing actively managed mutual funds is attributable to funds that have performed poorly both in the current and prior year. We demonstrate that this persistence results from an unwillingness of investors in these funds to respond to bad performance by withdrawing their capital. In contrast, funds that only performed poorly in the ...

The unconditional risk-adjusted performance of a comprehensive and survivorship-free sample of Canadian bond funds is negative, improves with full conditioning, and is sensitive to the choice of the return-generating process. The use of a multi-factor model that also captures maturity differences not only enhances estimated performance but its conditional version best describes the return-gener...

Hedge funds are in a better position than mutual funds in timing systematic risk factors because they are less regulated and thus have more freedom to use leverage and short sales. To examine whether factor timing is a source of hedge fund alpha, this paper decomposes excess return generated by hedge funds during 1994 – 2008 into security selection, factor timing, and risk premium using the new...

The study assessed mutual funds' cash flows on investors' returns in Tanzania. was guided by two predicting variables: economic condition (EC) and fund growth (FG). predictor variables were tested return (IR) as the dependent variable. employed a quantitative approach using secondary data generated through panel form series of 8 years from 2014 to 2021. collected facts with regard selected all ...

Theory suggests that long/short equity hedge funds’ returns come from directional as well as spread bets on the stock market. Empirical analysis finds persistent net exposures to the spread between small versus large cap stocks in addition to the overall market. Together, these factors account for more than 80 percent of return variation. Additional factors are price momentum and market activit...