Cash-Flow Timing vs. Discount-Rate Timing: An Examination of Mutual Fund Market-Timing Skills
In: Finance Down Under 2016 Building on the Best from the Cellars of Finance
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In: Finance Down Under 2016 Building on the Best from the Cellars of Finance
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In: Handbooks in economics series
Just how successful is that investment? Measuring portfolio performance requires evaluation (measuring portfolio results against benchmarks) and attribution (determining individual results of the portfolio's parts), In this book, a professor and an asset manager show readers how to use theories, applications, and real data to understand these tools. Unlike others, Fischer and Wermers teach readers how to pick the theories and applications that fit their specific needs. With material inspired by the recent financial crisis, Fischer and Wermers bring new clarity to defining investment success. Gives readers the theories and the empirical tools to handle their own data. Features practice problems from the CFA Program curriculum
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In: European Corporate Governance Institute (ECGI) - Finance Working Paper No. 541/2017
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In: Robert H. Smith School Research Paper No. RHS 2510442
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In: American Finance Association Meetings 2015 Paper
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In: Review of Financial Studies, Forthcoming
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In: Journal of Finance, Forthcoming
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In: American economic review, Band 106, Heft 9, S. 2625-2657
ISSN: 1944-7981
We study daily money market mutual fund flows at the individual share class level during September 2008. This fine granularity of data allows new insights into investor and portfolio holding characteristics conducive to run risk in cash-like asset pools. We find that cross-sectional flow data observed during the week of the Lehman failure are consistent with key implications of a simple model of coordination with incomplete information and strategic complementarities. Similar conclusions follow from daily models fitted to capture dynamic interactions between investors with differing levels of sophistication within the same money fund, holding constant the underlying portfolio. (JEL D14, G11, G23)
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In: Published in Journal of Finance, February 2010
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