haku: @freeterm conditional / yhteensä: 3
viite: 3 / 3
« edellinen | seuraava »
| Tekijä: | Bessler, W. Drobetz, W. Zimmermann, H. |
| Otsikko: | Conditional performance evaluation for German equity mutual funds |
| Lehti: | European Journal of Finance
2009 : APR-JUN, VOL. 15:3-4, p. 287-316 |
| Asiasana: | funds stock returns performance measurement beta factor Germany |
| Vapaa asiasana: | mutual predictability conditional stochastic discount factor framework |
| Kieli: | eng |
| Tiivistelmä: | Based on the conditional performance of a sample of German equity mutual funds over the period from 1994 to 2003 using both the beta-pricing approach and the stochastic discount factor (SDF) framework. The paper analyzes and examines the following: i. The mutual funds cannot generate excess returns relative to their benchmark that are large enough to cover their total expenses on average and compared to unconditional alphas, fund performance sharply deteriorates when they measure conditional alphas. ii. Given that stock returns are to some extent predictable based on publicly available information, conditional performance evaluation raises the benchmark for active fund managers because it gives them no credit for exploiting readily available information. iii. The fund performance measures derived from alternative model specifications differ depending on the number of primitive assets taken to calibrate the SDF as well as the number of instrument variables used to scale assets and/or factors. |
« edellinen | seuraava »
SCIMA