Holdings: Can we find the better fund

Can we find the better fund: academics and investors in pursuit of an outperforming mutual fund

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Bibliographic Details
Main Author:	Heuer, Justus 1984- (Author)
Format:	Thesis Book
Language:	English
Published:	2014
Subjects:	Fonds Portfolio Selection Deutschland USA Hochschulschrift
Online Access:	Inhaltsverzeichnis Inhaltsverzeichnis
Physical Description:	LXIX, 128 S. graph. Darst. 21 cm

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MARC


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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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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
topic	Fonds (DE-588)4202351-8 gnd Portfolio Selection (DE-588)4046834-3 gnd
topic_facet	Fonds Portfolio Selection Deutschland USA Hochschulschrift
url	http://d-nb.info/1066404119/04 http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=027889907&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA
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