Performance, risk, and characteristics: new evidence from actively managed portfolios:
Saved in:
| Main Author: | |
|---|---|
| Format: | Thesis Book |
| Language: | English |
| Published: |
Augsburg
2024
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| Subjects: | |
| Online Access: | Inhaltsverzeichnis |
| Physical Description: | IV, 152 Seiten Diagramm |
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Record in the Search Index
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1 INTRODUCTION. 1 1.1 Motivation. 1 1.2 Objective and Contribution. 2 1.3 Overview and Summaries of Articles Included. 9 1.3.1 Article I: Liquidity Provision and Trading Skill: Evidence from Mutual Funds’ Daily Transactions.9 1.3.2 Article II: Fraternal Twins - Should Investors Be Careful?. 10 1.3.3 Article III: Do Investor Types Matter? A Comparative Analysis of Separate Account Performance, Risk, and Characteristics. 12 1.3.4 Article IV: The Expected Performance of Low-Carbon Equity Funds. 13 References. 15 2 ARTICLE I: LIQUIDITY PROVISION AND TRADING SKILL: EVIDENCE FROM MUTUAL FUNDS’ DAILY TRANSACTIONS. 19 2.1 Introduction. 20 2.2 Data and Methodology. 22 2.2.1
Data. 22 2.2.2 Comparing the Data from Euroclear Finland to Other Transaction Level Databases. 25 2.2.3 Trading Measures. 26 2.2.4 Trade Returns. 27 2.2.5 Summary Statistics. 28 2.3 Trading Performance Analysis. 30 2.3.1 Average Trading Performance. 30 2.3.2 Short-Term vs. Long-Term Trading Performance: Quartile Analysis. 32 2.3.3 Persistence in Trading Performance.33 2.3.4 Trading Performance Influencing Factors: The Role of Trade Size, Liquidity Provision, Price Pressure, and Fund Characteristics. 35 2.3.5 Analyzing Buy and Sell Trade Returns: The Differential Impact of Trade Size, Liquidity Provision, Price Pressure, and Fund Characteristics. 40 2.4
Conclusion. 41 References. 43 Tables. 47 Appendix. 57 3 ARTICLE II: FRATERNAL TWINS - SHOULD INVESTORS BE CAREFUL?. 64 4 ARTICLE ΙΠ: DO INVESTOR TYPES MATTER? A COMPARATIVE ANALYSIS OF SEPARATE ACCOUNT PERFORMANCE, RISK, AND CHARACTERISTICS. 65
4.1 4.2 4.3 Introduction. 66 Data. 70 Characteristics.71 4.3.1 Institutional vs. Retail. 72 4.3.2 SRI vs. Non-SRI. 74 Performance. 74 4.4.1 Methodology.75 4.4.2 Institutional vs. Retail. 76 4.4.3 SRI vs. Non-SRI. 78 4.4.4 Performance Disparities, Expenses, and Other Characteristics. 79 4.5 Risk.84 4.5.1 Institutional vs. Retail. 84 4.5.2 SRI vs. Non-
SRI. 86 4.5.3 Idiosyncratic Risk Disparities and Characteristics.87 4.6 Conclusion. 89 References. 91 Tables. 95 4.4 5 ARTICLE IV: THE EXPECTED PERFORMANCE OF LOW-CARBON EQUITY FUNDS. 105 5.1 5.2 5.3 5.4 Introduction. 106 Literature Review and Contribution. 108 Data. 112 Ex-Post Performance of Low-Carbon Funds.116 5.4.1 Traditional Factor Models. 116 5.4.2 Carbon Augmented Factor Models. 118 5.4.3 Examining Fund Characteristics: Performance
Drivers Beyond Factors. 120 5.5 Opportunity Costs of Idiosyncratic Risk.123 5.5.1 Idiosyncratic Risk in Low-Carbon Funds. 123 5.5.2 Idiosyncratic Risk Adjusted Performance. 124 5.6 Expected Performance of Low-Carbon Funds. 126 5.7 Conclusion. 127 Appendix A: Factor Construction and Descriptive Statistics. 129 Appendix B: Variable Descriptions. 133 References. 135 Figures. 140 Tables.141 6 CONCLUSION. 148 References. 152 |
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| spelling | Weh, René ca. 20./21. Jh. Verfasser (DE-588)1202557368 aut Performance, risk, and characteristics: new evidence from actively managed portfolios vorgelegt von René Weh Augsburg 2024 IV, 152 Seiten Diagramm txt rdacontent n rdamedia nc rdacarrier Dissertation Universität Augsburg 2024 Kumulativ Portfoliomanagement (DE-588)4115601-8 gnd rswk-swf (DE-588)4113937-9 Hochschulschrift gnd-content Portfoliomanagement (DE-588)4115601-8 s DE-604 Digitalisierung UB Augsburg - ADAM Catalogue Enrichment application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=035264052&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Weh, René ca. 20./21. Jh Performance, risk, and characteristics: new evidence from actively managed portfolios Portfoliomanagement (DE-588)4115601-8 gnd |
| subject_GND | (DE-588)4115601-8 (DE-588)4113937-9 |
| title | Performance, risk, and characteristics: new evidence from actively managed portfolios |
| title_auth | Performance, risk, and characteristics: new evidence from actively managed portfolios |
| title_exact_search | Performance, risk, and characteristics: new evidence from actively managed portfolios |
| title_full | Performance, risk, and characteristics: new evidence from actively managed portfolios vorgelegt von René Weh |
| title_fullStr | Performance, risk, and characteristics: new evidence from actively managed portfolios vorgelegt von René Weh |
| title_full_unstemmed | Performance, risk, and characteristics: new evidence from actively managed portfolios vorgelegt von René Weh |
| title_short | Performance, risk, and characteristics: new evidence from actively managed portfolios |
| title_sort | performance risk and characteristics new evidence from actively managed portfolios |
| topic | Portfoliomanagement (DE-588)4115601-8 gnd |
| topic_facet | Portfoliomanagement Hochschulschrift |
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