haku: @author Brown, S. J. / yhteensä: 12
viite: 3 / 12
| Tekijä: | Brown, S. J. Goetzmann, W. N. |
| Otsikko: | Mutual fund styles |
| Lehti: | Journal of Financial Economics
1997 : MAR, VOL. 43:3, p. 373-399 |
| Asiasana: | UNIT TRUSTS MANAGEMENT STYLES PERFORMANCE APPRAISAL |
| Kieli: | eng |
| Tiivistelmä: | Typically mutual funds are grouped according to the type of securities in which they invest and the "style" of their managers. New empirical is proposed to the determination of manager "style". The new "style clasification" algorithm is consistent with asset pricing models. It should do a good job of predicting cross-sectional variation in fund returns than do traditional mutual fund classifications. The results validate the use of traditional self-reported categories such as growth and income, equity income, and growth. Funds however do not always categorize themselves. Some surprising divergences were found from standard industrial categories. Evidence of "value" vs. "glamour" managers was found, and evidence that style involves dynamic strategies was also found. |
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