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Measuring the Performance of Government Bond Portfolios with Index-Based Level, Slope, and Curvature Factors
In: JBF-D-22-00826
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Working paper
Maturity-Matched Bond Fund Performance
In: Financial Analysts Journal, 77(2): 83-96.
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Working paper
The Effects of Mutual Fund Decarbonization on Stock Prices and Carbon Emissions
In: Journal of Banking and Finance, Volume 134, January 2022, 106352
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Working paper
Success and Failure on the Corporate Bond Fund Market
In: Journal of Asset Management 19(6), 429-443.
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Working paper
Does style-shifting activity predict performance? Evidence from equity mutual funds
In: The quarterly review of economics and finance, Band 59, S. 112-130
ISSN: 1062-9769
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Fraternal twins—Should investors be careful?*
In: Review of financial economics: RFE, Band 41, Heft 1, S. 23-42
ISSN: 1873-5924
AbstractAfter analyzing portfolio differences between separate account‐mutual fund twins, we find that dissimilar "fraternal twins" show significantly lower joint performance than "identical twins." This finding is consistent with fraternal twins competing for the limited attention of a manager while identical twins mutually profit. Furthermore, the effect is stronger for separate accounts, which is probably due to investors having the opportunity to influence managers' investment decisions according to their preferences. These results are independent of differences in known investment constraints. However, the findings may be driven by separate account investors' preferences for higher liquidity and lower idiosyncratic risk.
Fraternal twins – Should investors be careful?
In: Review of Financial Economics, Forthcoming
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Working paper
Shedding Light on the Exposure of Mutual Funds – Which Investments Drive Mutual Fund Characteristics?
In: Journal of Asset Management, 20 (6), 534-551.
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Working paper
Jensen's alpha and the market‐timing puzzle
In: Review of financial economics: RFE, Band 37, Heft 2, S. 234-255
ISSN: 1873-5924
AbstractTheory predicts that market‐timing activities bias Jensen's alpha (JA). However, empirical studies have failed to find consistent evidence of this bias. We tackle this puzzle in a nested model analysis and show that the bias contains an exogenous market component that is unrelated to market‐timing skill. In a comprehensive empirical analysis of US mutual funds, we find that the timing‐induced bias in JA is mainly driven by this market component, which is uncorrelated with measured timing activities. Measures of total performance that allow for timing activities are virtually identical to JA, even if timing activities are present in the evaluated fund. Hence, we conclude that JA is a sufficient measure of total performance.
Jensen's Alpha and the Market Timing Puzzle
In: Review of Financial Economics, 37 (2), 234-255.
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