Sökning: "Fund Allocation in Recession"

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  1. 1. Impact of Recessions on Equity Mutual Fund Allocations

    C-uppsats, Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Författare :Jonas Gustavsson; Owe Xie; [2012]
    Nyckelord :Fund Allocation in Recession; Market Portfolio; Small Minus Big; High Minus Low; Momentum;

    Sammanfattning : We show that the exposure of US equity mutual funds to Carhart's four-factor model vary with the state of the economy. In bad times, equity mutual funds underinvest in small and value stocks. We find that these reactions can be explained by the change in riskiness of small and value firms. LÄS MER