[PDF] Top 20 The effect of market distress on mutual fund performance: international evidence

... investigating the relation between other variables and bear ...higher performance regardless of the economic ...However, the Chen et ...knowledge of portfolio weights, which is ... See full document

... impacting the excess return of bond funds and money market ...level of) in 3 of the 4 considered categories of equity ...For the Portuguese equity funds and for ... See full document

... investigate the style and performance of US and European socially responsible funds that invest in the global ...respect of investment style, the authors found evidence ... See full document

... an international database, Bauer et ...find evidence of significant differences in risk-adjusted returns between ethical and conventional funds using an international database containing 103 ... See full document

... both the level of fund flows into a fund and the sensitivity of flows to fund past ...determinant of fund ...past performance with participation ... See full document

... is the country transaction costs measured in basis points ...calculate the annual average transaction costs for 2004 using the Global Universe Data- ElkinsMcSherry ...include market impact ... See full document

... obtained the monthly net value of the participation units of each fund through Bloomberg’s database, we proceeded with the calculation of the respective ...rates ... See full document

... investigate the dilution impact on the actively international fund flows in the ...US-based international funds to replicate the return of the ... See full document

... One of the pioneer studies regarding SRI mutual fund fixed-income is Derwall & Koedijk ...by the US Social Investment Forum, and use matched samples of conventional US ... See full document

... addressed the relationship between the US market and 424 selected mutual ...data, the authors found a strong positive relationship between daily returns and the market, ... See full document

... test the persistence of these funds. Khan and Rudd (1995) examine the performance persistence of US equity mutual funds and fixed-income mutual funds using cross-section ... See full document

... beliefs of investors on mean reversion patterns of fund returns could explain our ...find evidence consistent with irrational beliefs, but the disposition effect survives ... See full document

... issue of persistence in managers’ ability to select stocks and time risk factors has two ...over the past quarter continue to do so in the ...particular performance subgroup of ... See full document

... light of the considerable growth and expansion of the global mutual fund industry over the past number of decades, it is not surprising to find the scope ... See full document

... now on “LSV” - found only weak evidence to the occurrence of herd behavior, Shapira and Venezia (2006), in their study about transactions made by amateur and professional investors in ... See full document

... Mutual fund families have considerable capacity to affect the performance of their funds, especially the fund families with larger ...that mutual funds with better ... See full document

... measure, the Jensen measure is subject to same criticism: the result depends on the choice of market ...when the managers concerns with market-timing strategy, ... See full document

... and fund flows for domestic U.S. equity funds. They found that the Morningstar rating had a quantifiable and independent effect on fund flows, which could be separated from other ... See full document

... face the recent financial and economic ...than the policy rate 5 , to guarantee the compliance of their monetary stability ...respect of the broadness of the ... See full document

... presents the results from panel regressions in Panel A, and Spearman rank correlation persistence tests in Panel B, examining the impact of a set of country-level variables that proxy for ... See full document