Can we find the better fund: academics and investors in pursuit of an outperforming mutual fund
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| Format: | Abschlussarbeit Buch |
| Sprache: | English |
| Veröffentlicht: |
2014
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| Schlagworte: | |
| Online-Zugang: | Inhaltsverzeichnis Inhaltsverzeichnis |
| Beschreibung: | LXIX, 128 S. graph. Darst. 21 cm |
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Datensatz im Suchindex
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| adam_text | JUSTUS HEUER
WE FIND THE BETTER FUND: ACADEMICS AND INVESTORS IN
PURSUIT OF AN OUTPERFORMING MUTUAL FUND
INAUGURALDISSERTATION
ZUR ERLANGUNG DES AKADEMISCHEN GRADES
EINES DOKTORS DER WIRTSCHAFTSWISSENSCHAFTEN
DER UNIVERSITAT MANNHEIM
VORGELEGT- IM FRUHJAHRS-/SOMMERSEMESTER 2014
JUSTUS HEUER
HTTP://D-NB.INFO/1066404119
CONTENTS
LIST OF FIGURES IX
LIST OF TABLES XII
1 GENERAL INTRODUCTION 1
1.1 MOTIVATION 1
1.2 RETURN CHASING AND PERFORMANCE PERSISTENCE 5
1.3 FLUID MANAGER SKILL, SKILL PERCEPTION AND PORTFOLIO DIVERSIFICATION
6
1.3.1 RETURN CHASING AND FUND PORTFOLIO DIVERSIFICATION 7
1.3.2 RETURN CHASING AND INVESTOR PORTFOLIO DIVERSIFICATION 8
1.4 OUTLINE OF THE THESIS . . . 9
2 INVESTOR PERCEPTION OF FUND MANAGER SKILL 11
2.1 INTRODUCTION 11
2.2 THEORETICAL FOUNDATION 17
2.3 SURVEY 1: CROSS SECTION AND SKILL 21
2.3.1 SURVEY SETUP 21
V
VI CONTENTS
2.3.2 SUMMARY STATISTICS SURVEY 1 26
2.3.3 PERSONAL CHARACTERISTICS AND SURVEY ANSWERS 28
2.3.4 RESULTS SURVEY 1 32
2.3.5 OTHER RESULTS 38
2.4 SURVEY 2: VOLATILITY AND SKILL 38
2.4.1 SURVEY SETUP 38
2.4.2 SUMMARY STATISTICS SURVEY 2 42
2.4.3 RESULTS SURVEY 2 43
2.5 SURVEY 3: VOLATILITY AND SKILL: FURTHER TESTS 48
2.5.1 SURVEY SETUP 48
2.5.2 SUMMARY STATISTICS SURVEY 3 49
2.5.3 RESULTS SURVEY 3 51
2.6 CONCLUSION 53
3 NEGLECTED RISKS 55
3.1 INTRODUCTION . . 55
3.2 LITERATURE 60
3.3 METHODOLOGY 64
3.3.1 THE UTILITY BASED SKILL MEASURE . . . 64
3.3.2 ASSUMPTIONS 66
3.3.3 LIMITATIONS 67
CONTENTS VII
3.3.4 MULTI-FUND PORTFOLIOS 69
3.4 DATA 69
3.4.1 SUMMARY STATISTICS . . * 70
3.5 RESULTS : . . . . 71
3.5.1 RISKS INCURED BY STOCK PICKING 71
3.5.2 ANALYSIS OF SELECTION RISKS IN THE CROSS SECTION 76
3.5.3 ANALYSIS OF SELECTION RISKS IN THE TIME SERIES 85
3.5.4 RISKS INCURED BY MARKET TIMING
86
3.6 CONCLUSION 88
4 TIMING AND SELECTION SKILLS .90
F
4.1 INTRODUCTION 90
4.2 LITERATURE 93
4.3 DATA 96
4.3.1 BONDS 96
4.3.2 STOCKS ..... 98
4.3.3 INDICES 98
4.3.4 FUNDS 101
4.4 METHODOLOGY 102
4.4.1 BOND AND STOCK SELECTION AND CHARACTERISTIC TIMING 104
4.4.2 ASSET CLASS TIMING 105
VIII CONTENTS,
4.5 RESULTS 106
4.5.1 SELECTION AND CHARACTERISTIC TIMING . . . . 106
4.5.2 SELECTION AND CHARACTERISTIC TIMING BY FUND MANAGER EXPERIENCE 110
4.5.3 ASSET CLASS TIMING BY ACTIVITY AND PROSPECTUS OBJECTIVE ILL
4.5.4 PERSISTENCE 114
4.5.5 CONSISTENCE 115
4.6 CONCLUSION 121
BIBLIOGRAPHY XIV
A APPENDIX CHAPTER 2 XXII
A.L EMPIRICAL SEPARATION OF THE US FUND MARKET INTO UNSKILLED, SKILLED
AND ZERO-ALPHA
FUNDS ACCORDING TO BSW XXII
A.2 ALL FUNDS FROM SURVEY 2 XXIV
A.3 SURVEY CHARTS XXVI
A.3.1 SURVEY 1 XXVI
A.3.2 SURVEY 2 XL
A.3.3 SURVEY 3 XLVII
B APPENDIX CHAPTER 3 LXIV
|
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| dewey-full | 332.6327 |
| dewey-hundreds | 300 - Social sciences |
| dewey-ones | 332 - Financial economics |
| dewey-raw | 332.6327 |
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| dewey-tens | 330 - Economics |
| discipline | Wirtschaftswissenschaften |
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| title | Can we find the better fund academics and investors in pursuit of an outperforming mutual fund |
| title_auth | Can we find the better fund academics and investors in pursuit of an outperforming mutual fund |
| title_exact_search | Can we find the better fund academics and investors in pursuit of an outperforming mutual fund |
| title_full | Can we find the better fund academics and investors in pursuit of an outperforming mutual fund Justus Heuer |
| title_fullStr | Can we find the better fund academics and investors in pursuit of an outperforming mutual fund Justus Heuer |
| title_full_unstemmed | Can we find the better fund academics and investors in pursuit of an outperforming mutual fund Justus Heuer |
| title_short | Can we find the better fund |
| title_sort | can we find the better fund academics and investors in pursuit of an outperforming mutual fund |
| title_sub | academics and investors in pursuit of an outperforming mutual fund |
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| topic_facet | Fonds Portfolio Selection Deutschland USA Hochschulschrift |
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