Sökning: "Return chasing"

Hittade 5 uppsatser innehållade orden Return chasing.

  1. 1. Exchange Rate and Equity Market Dependence under Shifts in Volatility Expectations

    Master-uppsats, Lunds universitet/Matematisk statistik

    Författare :Vilhelm Samuelsson; [2023]
    Nyckelord :Exchange rates; Equity markets; Volatility; ARMA-GARCH; Copula; Exchange rate determination; Safe-haven; Portfolio rebalancing; Return chasing; Mathematics and Statistics;

    Sammanfattning : Exchange rate movements have important implications for both policy makers and investors, as they can have large effects on the real economy and the return on investments. Lately, their relation to capital flows have attracted growing interest due to the failure of macroeconomic fundamentals to explain them. LÄS MER

  3. 2. Smart Money and Mutual Fund Family

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

    Författare :Zachary Matteucci; [2022]
    Nyckelord :Mutual Fund; Mutual Fund Family; Smart Money; Dumb Money; Mutual Fund Flow;

    Sammanfattning : This paper studies the smart money effect within mutual fund families by looking at monthly US equity open-ended mutual fund data between 2011 and 2019. Investors' money is said to be smart when it is able to predict future performance. LÄS MER

  4. 3. Chasing Sustainable Stocks: A Superior Investment Decision? - An ESG Investment Study

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

    Författare :Sebastian Johansson; Gustav Nilsson; [2019]
    Nyckelord :ESG; Socially Responsible Investing; Trading Strategy; Portfolio Performance;

    Sammanfattning : Sustainable investing is trending, amounting to $30 trillion in assets under management world-wide in 2018 and it is predicted to grow even larger in the years to come. This thesis studies ESG portfolio performance of three comparable portfolios, a Sustainable, a Good Enough and an Unsustainable portfolio constructed using ESG-score in relation to their Global Industrial Classification Standard (GICS), between 2004 - 2018 in the U. LÄS MER

  5. 4. The Cost of Being Dumb - an empirical study of Swedish investors' market timing abilities

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

    Författare :Christopher Tempelman; Gustaf Ahlberg; [2015]
    Nyckelord :Performance Gap; Return Chasing; Performance persistence; Behavioral Finance;

    Sammanfattning : In this paper we examine if Swedish investors mistime their fund investments. We study 236 Swedish equity funds in 2004 through 2014. Using cash flows and returns, we examine the size and cost of the performance gap to see if investors are mistiming investments systematically. LÄS MER

  7. 5. Strategy Distinctiveness of U.S. Equity Mutual Funds

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

    Författare :Matilda Elfving; Fredrik Helenius; [2012]
    Nyckelord :Mutual Funds; Strategy Distinctiveness; Active Management;

    Sammanfattning : According to basic economic principle, as more people are chasing a given return pattern, the profit from that pattern will eventually be mitigated. Using a simple model to compare a particular fund's return series with those of its peers, this study investigates whether managers standing out from the crowd can be said to possess more managerial skill, leading to subsequent superior performance. LÄS MER