haku: @author Engstrom, S. / yhteensä: 1
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| Tekijä: | Dahlquist, M. Engstrom, S. Soderlind, P. |
| Otsikko: | Performance and Characteristics of Swedish Mutual Funds |
| Lehti: | Journal of Financial and Quantitative Analysis
2000 : SEP, VOL. 35:3, p. 409-424 |
| Asiasana: | PERFORMANCE MEASUREMENT SWEDEN UNIT TRUSTS FINANCE |
| Kieli: | eng |
| Tiivistelmä: | This paper studies the relation between fund performance and fund attributes in the Swedish market with two main motives. First, by looking at a different market, but one with a similar institutional setting (discussed in some detail in the paper), the authors provide the existing literature with out-of-sample evidence. Second, the Swedish data are comprehensive, allowing us to analyze interesting hypotheses and to avoid a number of pitfalls. Performance is measured as the alpha in a linear regression of fund returns on several benchmark assets, allowing for time-varying betas. The results show that good performance occurs among small equity funds, low fee funds, funds whose trading activity is high and, in some cases, funds with good past performance. |
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