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Journal articles on the topic 'Mutual funds Market segmentation'

Author: Grafiati

Published: 4 June 2021

Last updated: 1 February 2022

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1

Manconi, Alberto, and Massimo Massa. "A Servant to Many Masters: Competing Shareholder Preferences and Limits to Catering." Journal of Financial and Quantitative Analysis 48, no. 6 (2013): 1693–716. http://dx.doi.org/10.1017/s0022109014000052.

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AbstractWe study what determines catering through the payout policy and how catering affects firm value. We create a catering index, measuring how the firm caters to its investors’ payout preferences. The index is based on the revealed payout preferences of mutual funds holding the firm’s stocks. Catering is constrained by market segmentation and dispersion in investor payout preferences. It is also associated with positive value effects: Firms increasing their catering index also experience an increase in value. Furthermore, greater catering ability is associated with a more positive market r

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2

Korkeamaki, Timo P., and Thomas I. Smythe. "Effects of Market Segmentation and Bank Concentration on Mutual Fund Expenses and Returns: Evidence from Finland." European Financial Management 10, no. 3 (2004): 413–38. http://dx.doi.org/10.1111/j.1354-7798.2004.00257.x.

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3

Addoum, Jawad M., and Justin R. Murfin. "Equity Price Discovery with Informed Private Debt." Review of Financial Studies 33, no. 8 (2019): 3766–803. http://dx.doi.org/10.1093/rfs/hhz128.

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Abstract Equity markets fail to account for the value-relevant nonpublic information enjoyed by syndicated loan participants and reflected in publicly posted loan prices. A long-short strategy that buys (sells) the equities of firms with recently appreciated (depreciated) loans earns large risk-adjusted returns, suggesting a surprising and economically important level of segmentation across the same firm’s capital structure. The information lag captured by trading strategy returns is not affected by drivers of firm-specific attention, including the publication of loan returns in the Wall Stree

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Kumawat, Sonal, Hemraj Kumawat, Vaishali Sharma, Pooja Verma, and Priyanka. "Mutual Funds." GIS Business 14, no. 4 (2019): 201–8. http://dx.doi.org/10.26643/gis.v14i4.6241.

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The Indian mutual fund industry witnessed a remarkable performance in the past 30 years. After independence, with the joint effort of the Indian government and the Reserve Bank of India, the establishment of Unit Trust of India marked the beginning of the mutual fund industry in India. With the opening of mutual fund industry in India, investors started taking the advantage of multiple investment opportunities. This leads to increase in savings to the funds along with banks. Mutual funds have given consistent favorable returns over the past year despite of slow growth. For making an investment

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Rachmawati, Rina, Sugeng Wahyudi, Irene Rini Demi Pangestuti, and Najmudin . "Funds Manager and Mutual Funds Characteristics on Mutual Funds Performance: Empirical Evidence of Equity Mutual Funds in Indonesia." International Journal of Financial Research 11, no. 2 (2020): 77. http://dx.doi.org/10.5430/ijfr.v11n2p77.

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This study examines the effect of investment fund managers' characteristics in the form of tenure, and mutual fund characteristics with proxy turnover portfolios, market timing and stock selectivity on the performance of stock mutual funds. The research sample is 27 stock mutual funds in Indonesia that were active from 2013 to 2017. On the analysis of the relationships between the characteristics of investment managers and mutual funds characteristics on the performance of stock mutual funds, a series of OLS regressions were run. The panel data regression was included based on using the Eviews

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6

Schmidt, Lawrence, Allan Timmermann, and Russ Wermers. "Runs on Money Market Mutual Funds." American Economic Review 106, no. 9 (2016): 2625–57. http://dx.doi.org/10.1257/aer.20140678.

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We study daily money market mutual fund flows at the individual share class level during September 2008. This fine granularity of data allows new insights into investor and portfolio holding characteristics conducive to run risk in cash-like asset pools. We find that cross-sectional flow data observed during the week of the Lehman failure are consistent with key implications of a simple model of coordination with incomplete information and strategic complementarities. Similar conclusions follow from daily models fitted to capture dynamic interactions between investors with differing levels of

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Popescu, Marius, and Zhaojin Xu. "Market states and mutual fund risk shifting." Managerial Finance 43, no. 7 (2017): 828–38. http://dx.doi.org/10.1108/mf-09-2016-0278.

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Purpose The purpose of this paper is to explore the motivation behind mutual funds’ risk shifting behavior by examining its impact on fund performance, while jointly considering fund managers’ compensation incentives and career concerns. Design/methodology/approach The study uses a sample of US actively managed equity funds over the period 1980-2010. A fund’s risk shifting is estimated as the difference between the fund’s intended portfolio risk in the second half of the year and the realized portfolio risk in the first half of the year. Using the state of the market to identify the dominating

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Rao, Zia-ur-Rehman, Muhammad Zubair Tauni, Amjad Iqbal, and Muhammad Umar. "Emerging market mutual fund performance: evidence for China." Journal of Asia Business Studies 11, no. 2 (2017): 167–87. http://dx.doi.org/10.1108/jabs-10-2015-0176.

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Purpose The purpose of this paper is to find whether Chinese equity funds outperform the market and do Chinese fund managers possess positive market timing ability. This study also aims to investigate whether well-performing (worst) funds of last year continue to perform well (worst) in the following year. Design/methodology/approach Capital Asset Pricing Model and Carhart four-factor model are used for performance analysis, whereas for analyzing market timing ability, the Treynor and Mazuy (1966) and Henriksson and Merton (1981) models are applied. To investigate persistence in the performanc

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9

Kiymaz, Halil. "A performance evaluation of Chinese mutual funds." International Journal of Emerging Markets 10, no. 4 (2015): 820–36. http://dx.doi.org/10.1108/ijoem-09-2014-0136.

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Purpose – The purpose of this paper is to examine the performance of Chinese mutual funds during the period of January 2000 to July 2013. Emerging market funds provide investors with alternative risk exposure for their portfolios. The Chinese market has developed rapidly and differs from developed markets regarding wide range of market and economic characteristics, including size, liquidity, and regulation. The performance of these funds is investigated by using various risk adjusted measures. The study also compares performances of mutual fund subgroups and explains the factors influencing th

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Wang, Ching-Chang, and Chiulien C. Venezia. "The Effect Of Market Structure On Mutual Fund Performance In Taiwan." International Business & Economics Research Journal (IBER) 11, no. 5 (2012): 487. http://dx.doi.org/10.19030/iber.v11i5.6967.

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This paper illustrates the relationship between industry concentration and performance in Taiwans mutual fund industry. Our research mainly focuses on the relation between a funds average performance and market structure. Typically, a funds manager who faces price uncertainty will dedicate his efforts to determine the scale and compositions of portfolio to achieve a better performance in the near future. Since mutual funds are price takers, the empirical results for this industry may go beyond the scope of the SCP paradigm. This study focuses on the open-end equity mutual fund in the Taiwan ma

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Matallin-S, Juan C. "Non-Simultaneous Market Timing in Mutual Funds." Journal of Applied Sciences 9, no. 9 (2009): 1776–80. http://dx.doi.org/10.3923/jas.2009.1776.1780.

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12

Shy, Oz, and Rune Stenbacka. "Market structure and diversification of mutual funds." Journal of Financial Markets 6, no. 4 (2003): 607–24. http://dx.doi.org/10.1016/s1386-4181(01)00028-3.

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Comer, George. "Hybrid Mutual Funds and Market Timing Performance*." Journal of Business 79, no. 2 (2006): 771–97. http://dx.doi.org/10.1086/499137.

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14

Yi, Li, Zilan Liu, Lei He, Zilong Qin, and Shunli Gan. "Do Chinese mutual funds time the market?" Pacific-Basin Finance Journal 47 (February 2018): 1–19. http://dx.doi.org/10.1016/j.pacfin.2017.11.002.

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Engen, Eric M., and Andreas Lehnert. "Mutual Funds and the U.S. Equity Market." Federal Reserve Bulletin 86, no. 12 (2000): 0. http://dx.doi.org/10.17016/bulletin.2000.86-12.

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Gil-Bazo, Javier, Peter Hoffmann, and Sergio Mayordomo. "Mutual Funding." Review of Financial Studies 33, no. 10 (2019): 4883–915. http://dx.doi.org/10.1093/rfs/hhz111.

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Abstract Using data on Spanish mutual funds, we show that bank-affiliated funds provide funding support to their parent company via purchases of bonds in the primary market. Support from affiliated funds is more sizeable in crisis times and for riskier banks. These trades generate negative abnormal returns and thus benefit banks at the expense of fund investors. To minimize negative effects on their asset management business, banks concentrate the burden of funding support in funds without performance fees and those catering to retail investors. We provide evidence consistent with funding supp

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Locke, Larry G., and Virginia R. Locke. "The SECs Attempted Use Of Money Market Mutual Fund Shadow Prices To Control Risk Taking By Money Market Mutual Funds." Journal of Business & Economics Research (JBER) 10, no. 6 (2012): 345. http://dx.doi.org/10.19030/jber.v10i6.7025.

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One of the major advantages of money market mutual funds as a short term cash investment vehicle is that they are always purchased and sold for $1 per share. That constant $1 share price is maintained, despite the obvious fact that the funds holdings are frequently changing value, through a permissive SEC regulation that entitles money funds to value their portfolio securities at amortized cost rather than market value. At the same time, funds have always monitored their true market value in what is referred to as the funds shadow price, disclosed on a semi-annual basis. Starting in December,

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Dewi Tamara, Ir, and Shintia Revina. "Indonesian Mutual Funds Classification Using Clustering Method." Advanced Science Letters 21, no. 4 (2015): 826–29. http://dx.doi.org/10.1166/asl.2015.5892.

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Mutual funds have existed since 1990 as an alternative investment in Indonesia. The objective of this research is to examine the existing classification of mutual funds database. The data of mutual funds is taken from Bloomberg through Portal Reksadana 2013 which covered 690 mutual funds. The existing classification consists of mutual funds fixed income (reksadana pendapatan tetap), equity (reksadana saham), money market (reksadana pasar uang) and structured (reksadana campuran). The existing financial attributes consists of the net asset value, percentage annualized return the last 6 months,

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Rahma, Sarah Aulia, and Ari Prasetyo. "Perbandingan Kinerja Reksadana Syariah dan Pasar JII Menggunakan Metode Treynor (Studi Kasus Reksadana Saham Syariah, Reksadana Syariah Pendapatan Tetap dan Reksadana Syariah Pendapatan Campuran Periode 2011-2015)." Jurnal Ekonomi Syariah Teori dan Terapan 4, no. 5 (2017): 410. http://dx.doi.org/10.20473/vol4iss20175pp410-423.

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This research aims to find out the comparison between the performance of Islamic mutual funds of stock, Islamic mutual funds of fixed income and combined Islamic mutual funds with the market (Jakarta Islamic Index) as benchmark by using Treynor method. The method of this measuring calculates upon the risk factors and the return rate of those three kinds of Islamic mutual fund and benchmark. This research uses 21 samples of Islamic mutual fund in Indonesia which consist of seven Islamic mutual funds of stock, seven Islamic mutual funds of fixed income and seven combined Islamic mutual. The appr

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Shahid Chowdhury, Mohammad Abir, Zahid Ali, Muhammad Usman, and Asad Ullah. "Performance persistence of mutual funds: evidence from Bangladesh." Independent Journal of Management & Production 11, no. 6 (2020): 1739. http://dx.doi.org/10.14807/ijmp.v11i6.1118.

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Purpose: Since 1990s, the discussion on whether mutual funds can perform better and persistently as compare to market has become an ongoing issue. Current research investigates the performance persistence of equity mutual funds’, particularly in the financial market of Bangladesh.Theoretical Framework: Different researchers have strived to examine the performance of mutual funds by using numerous performance indicators and risk adjustment techniques.Design/Methodology/Approach: The equity mutual funds data for this study are obtained from DSE (Dhaka Stock Exchange) database. The sample set inc

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Adelia, Meidiana Rizki, and Muhammad Nafik Hadi Ryandono. "DETERMINAN KINERJA REKSADANA SAHAM SYARIAH." Jurnal Ekonomi Syariah Teori dan Terapan 7, no. 5 (2020): 940. http://dx.doi.org/10.20473/vol7iss20205pp940-954.

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There are a lot of factors that determine the sharia equity mutual funds performance, included stock selection skill, market timing ability, and fund age. This study aims to understand the effect of stock selection skill, market timing ability, and fund age on the sharia equity mutual funds performance in Indonesia from 2012 to 2018. This research uses a quantitative approach using an explanatory research type. The sampling technique in this study was purposive sampling and 6 sharia equity mutual funds were selected as samples. This study uses multiple linear regression analysis. The result of

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22

Bu, Qiang. "Mutual fund alpha and daily market-timing ability." Studies in Economics and Finance 36, no. 4 (2019): 662–81. http://dx.doi.org/10.1108/sef-09-2018-0277.

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Purpose This study aims to examine whether mutual funds can earn daily alpha and time daily market return. Design/methodology/approach Based on the Treynor and Mazuy (1966) model and the Henriksson and Merton (1981) model, the author tests the daily market-timing ability of actual mutual funds and bootstrapped mutual funds. Findings The author finds that daily alpha and daily market-timing ability can come from pure luck. In addition, the relation between fund alpha and market-timing ability is at best minimal. Originality/value Using bootstrapped funds as the benchmark, this study shows that

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23

Frahm, Gabriel, and Ferdinand Huber. "The Outperformance Probability of Mutual Funds." Journal of Risk and Financial Management 12, no. 3 (2019): 108. http://dx.doi.org/10.3390/jrfm12030108.

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We propose the outperformance probability as a new performance measure, which can be used in order to compare a strategy with a specified benchmark, and develop the basic statistical properties of its maximum-likelihood estimator in a Brownian-motion framework. The given results are used to investigate the question of whether mutual funds are able to beat the S&P 500 or the Russell 1000. Most mutual funds that are taken into consideration are, in fact, able to beat the market. We argue that one should refer to differential returns when comparing a strategy with a given benchmark and not co

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C. Huang, Carol. "Does rapid market growth enhance efficiency? An evaluation of the Chinese mutual fund market." Investment Management and Financial Innovations 16, no. 2 (2019): 383–94. http://dx.doi.org/10.21511/imfi.16(2).2019.32.

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In recent years, China’s mutual fund market has grown exponentially. With hundreds of new funds introduced into the market each year, an essential question to ask is whether this voluminous growth promotes funds’ efficiency, as funds compete for investment. To overcome the drawbacks of traditional portfolio performance metrics, this study utilizes a non-parametric model, data envelopment analysis (DEA), to assess the relative efficiency of equity and hybrid funds for 2016–2018. The empirical results show that despite the development in the fund industry, only a small portion of the funds are f

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Filip, Dariusz. "Market conditions of mutual funds functioning in Poland." Central European Review of Economics & Finance 17, no. 1 (2017): 65–81. http://dx.doi.org/10.24136/ceref.2017.004.

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The purpose of the paper is to discuss the structure of financial intermediaries market with particular reference made to mutual funds, and to present the role they have played in the financial sector. Moreover, the study focusses on the presentation of the environment of the mutual funds functioning in Poland, which is possible by comparing the level of assets values in main groups of financial institutions over the long-term perspective. Furthermore, it is essential in the cognitive context to determine the influence of market trends on the popularity of given segments of funds. The analysis

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Sarpong, Prince K. "Against the Herd: Contrarian Investment Strategies on the Johannesburg Stock Exchange." Journal of Economics and Behavioral Studies 6, no. 2 (2014): 120–29. http://dx.doi.org/10.22610/jebs.v6i2.475.

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This study seeks to investigate herd behaviour among equity mutual fund managers and the performance of mutual funds that trade against the herd in South Africa. The behaviour of mutual funds has an effect on the stability and volatility of stock markets, the ultimate returns to the investors. The study builds upon the efficient market hypothesis, portfolio theory and behavioural finance to provide evidence of the behaviour of mutual funds in an emerging market context using the Johannesburg Stock Exchange. The Lakonishok, Shleifer and Vishney (1991) measure of herding is used to ascertain the

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Huang, Jiekun. "Dynamic Liquidity Preferences of Mutual Funds." Quarterly Journal of Finance 10, no. 04 (2020): 2050018. http://dx.doi.org/10.1142/s2010139220500184.

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This paper examines the relation between expected market volatility and open-end mutual funds’ liquidity preferences. Using a large panel of actively managed U.S. equity mutual funds, I show that mutual fund managers hold more cash and tilt their holdings more heavily towards liquid stocks during periods when expected market volatility is high. Cross-sectional tests suggest that the dynamic preferences for liquidity are driven by concerns over investor withdrawals during volatile times. Furthermore, I find evidence that this type of dynamic behavior leads to higher fund returns.

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Kiymaz, Halil, and Koray D. Simsek. "The performance of US-based emerging market mutual funds." Journal of Capital Markets Studies 1, no. 1 (2017): 58–73. http://dx.doi.org/10.1108/jcms-10-2017-003.

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Purpose The purpose of this paper is to examine the performance of US mutual funds that invest primarily in emerging market equities and bonds. Design/methodology/approach The study adopts the Morningstar classification of mutual funds and uses the Lipper US Mutual Fund Database through FactSet to obtain monthly returns and various metrics for emerging market equity and bond mutual funds covering the period from January 2000 to May 2017. Several descriptive statistics for these funds are reported as well as various risk-adjusted performance measures. Alphas are computed for different sub-perio

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Rodriguez, Javier. "The forecasting ability of world mutual funds." Studies in Economics and Finance 31, no. 2 (2014): 130–40. http://dx.doi.org/10.1108/sef-11-2012-0126.

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Purpose – The paper aims to empirically examine the forecasting ability of US-based world mutual funds during the 2001-2007 time period. Design/methodology/approach – World mutual funds are treated as portfolios composed of two sets of securities, i.e. domestic and foreign and two methodologies are used to measure forecasting ability: domestic differential exposure and assertion rates. Domestic differential exposure is based on the difference between each fund exposure to the domestic market when it is the outperforming market and the portfolio exposure to the domestic market when the foreign

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Koutsokostas, Drosos, and Spyros Papathanasiou. "Mutual funds in Greece: case study of domestic equity mutual funds during a financial crisis." Managerial Finance 43, no. 7 (2017): 812–27. http://dx.doi.org/10.1108/mf-10-2016-0293.

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Purpose The purpose of this paper is to examine the performance of Greek equity mutual funds for the period 2012-2016, analyzing further the selectivity and market timing ability, and short-term performance persistence for the period 2015-2016. Design/methodology/approach Utilizing a survivorship-bias-controlled sample of 25 funds and daily data, the authors use single-index (Jensen, 1968) and multi-factor (Carhart, 1997) models to evaluate risk-adjusted returns using the General Index of Athens Stock Exchange as a benchmark. The Treynor-Mazuy (1966) and Henriksson-Merton (1981) models are use

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ANITA, ANITA. "KINERJA MANAJER INVESTASI REKSADANA SAHAM SYARIAH DI INDONESIA." Al-Masraf : Jurnal Lembaga Keuangan dan Perbankan 4, no. 1 (2019): 1. http://dx.doi.org/10.15548/al-masraf.v4i1.224.

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The purpose of this study is to test the ability of investment managers in Islamic mutual funds in their ability to conduct stock selection and market timing. The model developed in this study uses the Henriksson-Merton model. With purposive sampling technique obtained a sample of 31 mutual funds. After testing the results obtained, the performance of Islamic stock mutual funds in Indonesia underperformed compared to the ISSI market performance. The stock selection results contribute negatively to α = 5%, while the ability of market timing has a significant positive effect on mutual fund retur

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Rafika, Siti Zulva, and Nisful Laila. "Pengaruh Kinerja Manajer Investasi Terhadap Return Reksadana Saham Syariah di Indonesia (Periode 2011-2015)." Jurnal Ekonomi Syariah Teori dan Terapan 4, no. 3 (2017): 219. http://dx.doi.org/10.20473/vol4iss20173pp219-234.

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This research aims to find out the influence of stock selection and market timing toward the return of Islamic mutual funds of stock in Indonesia. This study used seven samples of Islamic mutual funds of stock in Indonesia were obtained using purposive sampling. The stock selection and market timing were counted using Treynor Mazuy Model. The approach used in this study is quantitative approach using double regressions. In analyzing the data, the technique used is panel data regression analysis by using Eviews 8 software. The result of this study shows that in the partially test, the stock sel

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Širůček, Martin, Jan Vystoupil, and Petr Strejček. "Profitability of Sector Mutual Funds and ETFs During Market Development and Length of Investment Horizon." Financial Assets and Investing 9, no. 2 (2018): 42–60. http://dx.doi.org/10.5817/fai2018-2-3.

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This paper focuses on the profitability of investments into IT, finance, healthcare and consumer goods oriented active and passive mutual funds and ETFs and their profit/loss in different market situations (growing, stagnant and decreasing markets).The aim of the paper is to set recommendations for investors as regards which instrument (active or passive mutual fund or ETFs) brings higher return or lower loss over the time and market development and if investors can expect different results based on the sector orientation, which sector is more sensitive to bullish or bearish trends. Our result

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Zaenal Arifin and Sri Mulyati. "Prediction Model for the Persistence of Sharia Mutual Fund Performance in Indonesian Capital Market." International Journal of Business and Society 21, no. 3 (2021): 1033–44. http://dx.doi.org/10.33736/ijbs.3309.2020.

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Over the period of 2010 to 2012, the performance of Islamic mutual funds in Indonesia saw a high degree of persistence. However, the persistence rate decreased in the period of 2014 to 2016. Given such fluctuated rate, this research tries to identify the factors that influence the persistence of the mutual fund performance and, based on these factors, creates the predictive modelling of persistence rate. The samples of the study included all sharia mutual funds offered from 2010 to 2016 in Indonesian capital market. To construct the model, we used the Logit equation, while to evaluate the accu

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김지혜, Hong Min-Goo, and KOOK-HYUN CHANG. "Do Real Estate Mutual Funds Time the Market?" KOREAN JOURNAL OF FINANCIAL MANAGEMENT 34, no. 2 (2017): 33–51. http://dx.doi.org/10.22510/kjofm.2017.34.2.002.

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Disyatat, Piti, and Gaston Gelos. "The Asset Allocation of Emerging Market Mutual Funds." IMF Working Papers 01, no. 111 (2001): 1. http://dx.doi.org/10.5089/9781451853476.001.

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Cuthbertson, Keith, Dirk Nitzsche, and Niall O'Sullivan. "The Market Timing Ability of UK Mutual Funds." Journal of Business Finance & Accounting 37, no. 1-2 (2010): 270–89. http://dx.doi.org/10.1111/j.1468-5957.2009.02157.x.

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Kholdy, Shady, John Miller, and Libo Sun. "Mutual Funds Herding Behavior, Sentiment, and Market Volatility." Journal of Wealth Management 24, no. 2 (2021): 92–107. http://dx.doi.org/10.3905/jwm.2021.1.143.

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Bu, Qiang. "Benchmarking mutual fund alpha." American Journal of Business 31, no. 4 (2016): 227–39. http://dx.doi.org/10.1108/ajb-01-2016-0001.

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Purpose The standard market models assume that all investors are rational with the same level of risk aversion, whereas investors in the real world are neither rational nor homogeneous. This contrast makes these models inappropriate for evaluating manager skill. The purpose of this paper is to attempt to bridge the gap between model assumption and fund investment practice. Design/methodology/approach This study proposes a series of modified models using the excess return of peer funds to estimate fund alpha. In these models, the market excess return in the standard market models is replaced wi

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Kusumastiti, Febrita, and Muhammad Nafik Hadi Ryandono. "Pengaruh Risiko Sistematis, Market Timing, dan Ukuran Dana Terhadap Kinerja Reksa Dana Pendapatan Tetap Syariah di Indonesia (Periode 2014-2018)." Jurnal Ekonomi Syariah Teori dan Terapan 6, no. 12 (2020): 2409. http://dx.doi.org/10.20473/vol6iss201912pp2409-2421.

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The purpose of this study is to determine the effect of the systematic of risk, market timing, and fund size toward sharia fixed income mutual funds in Indonesia period 2014-2018 partially and simultaneously. This research uses a quantitative approach and uses multiple linear regression tests to determine the relationship between exogenous variables and endogenous variable. The result of this research shows that systematic risk and fund size are partially have significant influence to the sharia fixed income mutual funds performance. Meanwhile, market timing is partially have insignificant inf

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Wang, Z. Jay, Hanjiang Zhang, and Xinde Zhang. "Fire Sales and Impediments to Liquidity Provision in the Corporate Bond Market." Journal of Financial and Quantitative Analysis 55, no. 8 (2019): 2613–40. http://dx.doi.org/10.1017/s0022109019000991.

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We examine impediments to liquidity provision by mutual funds to insurance companies during corporate bond fire sales. We find that financial regulation and limited capital capacity significantly affect liquidity provision. Mutual funds reduced their purchase of fire-sale bonds following regulatory changes after the 2008–2009 financial crisis. Funds facing more capital constraints (proxied by smaller cash and Treasury holdings, less liquid corporate bond investments, higher redemption risk, and less active investment styles) provide less liquidity. Mutual funds actively investing in fire-sale

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Li, Jun-Hao, and Chun-Fan You. "An Analysis of Mutual Fund Managers’ Timing Abilities - Evidence From Chinese Equity Funds." International Journal of Financial Research 11, no. 4 (2020): 214. http://dx.doi.org/10.5430/ijfr.v11n4p214.

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This paper examines Chinese mutual fund managers’ market, volatility, and liquidity abilities. Using a daily frequency sample of Chinese open-end equity funds from 2015 to 2019, we find evidence that mutual fund managers can time the market. Among the funds with different investment styles, the active funds have better market and liquidity timing ability, whereas the steady funds have better volatility timing ability. In different investment periods, there are more funds with timing ability in the fall period than in the rise period. We find the same results in the market (T-M), volatility, an

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Ahmad, Waqas, Muhammad Sohaib Roomi, Muhammad Ramzan, Muhammad Zia-ur-Rehman, and Sajjad Ahmad Baig. "A Comparative Study on Performance of Open and Close-ended Mutual Funds in Pakistan." International Journal of Accounting and Financial Reporting 1, no. 1 (2015): 300. http://dx.doi.org/10.5296/ijafr.v5i1.7487.

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This paper is based on the comparison of Pakistani open-ended and close-ended mutual funds performance. That study focus on income, balance and equity schemes of open-ended and close-ended mutual funds. The performance of these funds evaluates using Sortino measure, Shrape measure, Treynor measure, Jenssen differtial measure and Inforamtion measure. The sample for the study consists of 73 funds from 2007 to 2012. Results show open-ended mutual funds performance is better than close-ended mutual funds. KSE (market portfolio) performance is grater over the all sample base mutual funds. Most risk

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Gao, Xijie. "Research on the Return of Mutual Funds." Scientific and Social Research 3, no. 2 (2021): 73–76. http://dx.doi.org/10.36922/ssr.v3i2.1105.

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

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Witkowska, Dorota, Krzysztof Kompa, and Grzegorz Mentel. "THE EFFECT OF GOVERNMENT DECISIONS ON THE EFFICIENCY OF THE INVESTMENT FUNDS MARKET IN POLAND." Journal of Business Economics and Management 20, no. 3 (2019): 573–94. http://dx.doi.org/10.3846/jbem.2019.9861.

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Polish government introduced crucial changes concerning conditions of the pension funds functioning in the years 2011–2014. This article focuses on explaining the impact of these political decisions on efficiency of investment fund market in Poland. Therefore, the article aims (1) to find out if changing in functioning of pension funds also affected the efficiency of mutual funds which provide stable growth investment policy (i.e. similar investment strategy as pension funds) and (2) to check which type of investment funds, pension or mutual, were more efficient in the sense of returns and ris

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Bajracharya, Rajan Bilas. "Mutual fund Performance in Nepalese Mutual fund units: An analysis of Monthly Returns." Journal of Advanced Academic Research 3, no. 2 (2017): 92–100. http://dx.doi.org/10.3126/jaar.v3i2.16758.

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Mutual funds dwell in a small market in Nepal. Around seven mutual funds listed in the Nepal stock exchange trade (NEPSE). This paper focused on evaluating the performance of five mutual funds of NEPSE on the basis of monthly returns compared to benchmark return. Risk adjusted performance measures suggested by Jenson, Treynor, Sharpe and statistical models are employed. It is found that, most of the mutual funds have performed better according to Jenson and Treynor measures but not up to the benchmark on the basis of Sharpe ratio. However, few mutual funds are well diversified and have reduced

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Koutsokostas, Drosos, Spyros Papathanasiou, and Nikolaos Eriotis. "Can mutual fund managers predict security prices to beat the market?The case of Greece during the debt crisis." Journal of Prediction Markets 12, no. 3 (2019): 40–62. http://dx.doi.org/10.5750/jpm.v12i3.1644.

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The purpose of this paper is to examine the performance of Greek equity mutual funds, elaborating on stock selection in parallel with market timing measures, in comparison with the performance of ETFs and index funds for the period 01/24/2008-05/12/2017, and the short-term performance persistence of actively managed funds for the period 05/12/2015-05/12/2017. Using all domestic equity mutual funds at our disposal and daily data, the authors apply multi-factor models to estimate risk-adjusted returns and to evaluate the selectivity and market timing ability of fund managers. In order to investi

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Lee, Charles M. C., Andrei Shleifer, and Richard H. Thaler. "Anomalies: Closed-End Mutual Funds." Journal of Economic Perspectives 4, no. 4 (1990): 153–64. http://dx.doi.org/10.1257/jep.4.4.153.

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The pricing of closed-end funds presents several puzzles. The following are the four sets of facts that any theory of closed-end fund pricing must address. 1) New funds appear on the market at a premium and move rapidly to a discount. 2) Closed-end funds usually trade at substantial discounts relative to their net asset values. 3) Discounts (and premia) are subject to wide variation, both over time and across funds. 4) When closed-end funds are terminated, either through merger, liquidation, or conversion to an open-end fund, prices converge to reported net asset value. These four puzzles rais

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Slapikaite, Indre, and Rima Tamosiuniene. "Socially Responsible Mutual Funds – A Profitable Way of Investing." Annals of the Alexandru Ioan Cuza University - Economics 60, no. 1 (2013): 202–14. http://dx.doi.org/10.2478/aicue-2013-0017.

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Abstract In the presented paper there is analyzed the idea, essence and strategies of socially reponsible investing, there is also made a review of socially responsible mutual fund market worldwide and in the Baltics, and made a research on the relation between financial and social performance of mutual funds. Finally, there are presented results of a comparative analysis of S&P 500 TR and Index Morningstar Moderate Target Risk to their benchmarks. The presented results show the trends of socially responsible market and the effectiveness of socially responsible mutual funds comparing to th

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Neto, Nuno Manuel Veloso, Júlio Fernando Seara Sequeira da Mota Lobão, and Elisabete Simões Vieira. "Do Portuguese mutual funds display forecasting skills?" Studies in Economics and Finance 34, no. 4 (2017): 597–631. http://dx.doi.org/10.1108/sef-09-2015-0233.

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Purpose This study aims to evaluate the performance of the Portuguese fund managers by examining the selectivity and market timing skills of 51 Portuguese mutual funds from June 2002 to March 2012. Design/methodology/approach The authors assess empirically the performance of a sample of funds by applying the unconditional and conditional models of Treynor and Mazuy (1966) and Henriksson and Merton (1981). Findings The results suggest that, overall, the Portuguese mutual funds do not possess selectivity or timing skills. However, regardless of the model used, the domestic equity funds exhibit a

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