دانلود مقاله ISI انگلیسی شماره 101750
کد مقاله سال انتشار مقاله انگلیسی ترجمه فارسی تعداد کلمات
101750 2018 40 صفحه PDF سفارش دهید 15280 کلمه
خرید مقاله
پس از پرداخت، فوراً می توانید مقاله را دانلود فرمایید.
عنوان انگلیسی
Mutual fund performance attribution and market timing using portfolio holdings
منبع

Publisher : Elsevier - Science Direct (الزویر - ساینس دایرکت)

Journal : International Review of Economics & Finance, Available online 13 February 2018

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پیش نمایش مقاله

چکیده انگلیسی

We propose a novel performance attribution model for equity fund portfolios. The model analyses investment decisions based on portfolio holdings and measures the value added from different sources of performance such as past return strategies, security selection, market timing and passive timing. The model was tested for a sample of mutual funds. Empirical results show that security selection is the main contributor to fund performance regardless of the sample period considered or the asset pricing model used. The evidence of timing ability is mixed with low significance. Nevertheless there are noticeable differences between the timing ability of the best and worst performing funds, especially in crisis periods. Analysing the relationship between mutual fund performance (and its different components) and fund characteristics, we find that top funds are significantly smaller and more concentrated than other funds. Finally, we also examine the persistence in the performance and in its components finding evidence of positive persistence in past return strategies and picking skills although this persistence is not shown in the overall performance.

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پس از پرداخت، فوراً می توانید مقاله را دانلود فرمایید.