Fund Flow Volatility and Performance. David Rakowski. The Journal of Finance . 2010Rakowski D. Fund flow volatility and performance[J].Journal of Financial and Quantitative Analysis,2010,(01):223-237.Rakowski,D.Fund Flow Volatility and Performance.Journal of Financeand Quantitative Analysis. 2010...
Fund Flow Volatility and Performance. I document a significant negative relationship between the volatility of daily fund flows and cross-sectional differences in risk-adjusted performance. This ... Rakowski,David - 《Journal of Financial》 被引量: 104发表: 2010年 Time-varying performance in the ...
We analyze mutual fund flow-performance (FP) relationship in volatile stock markets.We find the FP relationship is positive but not asymmetric; no smart money effect.The positive FP relationship is more pronounced during bull market than bear market.Market volatility and investor clientele play a cr...
fund performancefund volatilityglobal financial crisismutual fundsExisting research shows mutual fund flow is highly correlated with past performance in an asymmetric way, namely flow-performance convexity. Fund managers pursue incentives to manipulate fund characteristics to invoke future fund inflows. Given...
The flow-performance relationship around the world. Journal of Banking & Finance, 36(6), 1759–1780. Article Google Scholar Gallo, J. G., Lockwood, L. J., & Rutherford, R. C. (2000). Asset allocation and the performance of real estate mutual funds. Real Estate Economics, 28(1), ...
performance, fund size, age, turnover, fund fees, volatility, and skewness of fund returns. Of particular interest, the positive relation between MAX and fund flows exists only in retail funds. Moreover, MAX is persistent from one month to the next, but MAX-based investment strategies ...
We examine the impact of style drift on the fund performance measures of selectivity and market timing. We find that style drift is positively related to selectivity performance, only when the market is in decline. Flow volatility is positively related to market timing ability during upmarket condit...
The Investment Manager assigns a weighting to each category within the models based on an assessment of the performance, volatility, correlation and turnover within each model. • Within the company fundamentals category, the Fund uses techniques to assess stock characteristics such as relative ...
The Investment Manager assigns a weighting to each category within the models based on an assessment of the performance, volatility, correlation and turnover within each model. • Within the company fundamentals category, the Fund uses techniques to assess stock characteristics such as relative ...
Recent episodes of capital market volatility and contagion have brought up many questions about the behavior of international investors. We address some of... ER Borensztein,RG Gelos - 《Emerging Markets Review》 被引量: 73发表: 2003年 Mutual Funds Performance: Does Gender Matter in an Emerging...