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Author: Mohamed A. Ayadi Publisher: ISBN: Category : Fixed-income securities Languages : en Pages : 0
Book Description
The dissertation consists of four essays that address several issues related to the performance of Canadian equity and fixed-income mutual funds. In the first essay, a general asset pricing framework is used to derive a conditional asset pricing kernel that accounts efficiently for time variation in expected returns and risk, and is suitable to perform (un)conditional evaluations of passive and dynamic investment strategies. The abnormal unconditional performance of Canadian equity mutual funds over the period 1989-1999 becomes negative with conditioning. The performance statistics are weakly sensitive to changes in the level of relative risk aversion of the uninformed investor. The reversal in the size-based performance results with limited information conditioning is alleviated somewhat with an expansion of the conditioning set. Estimates of survivorship bias due to the elimination of funds with shorter lives, which range from 36 to 58 basis points per year, are stable across performance models but differ across groupings by fund objective. In the second essay, we examine the sensitivity of various measures of portfolio performance using various return-based linear benchmark models in both their unconditional and conditional versions for a sample of Canadian equity mutual funds. In a departure from the current literature, performance inferences are based on tests that incorporate the contemporaneous cross-correlations across fund returns. In the third essay, we use higher-order moment and nonlinear asset pricing kernel models to estimate the risk-adjusted performance of a sample of Canadian equity mutual funds. (Un)conditional frameworks are developed that are suitable to perform evaluations of fixed weight and dynamic strategies. The results show that the weak unconditional performance becomes positive and significant with nonlinear and conditional kernel-based benchmarks. In the fourth essay, we presents new evidence on the performance of Canadian fixed-income funds using various linear single- and multi-factor benchmark models based on a sample of Canadian fixed-income mutual funds over the period, 1985-2000. Frameworks are developed that are suitable to perform evaluations of fixed-weight and dynamic strategies. The results show evidence of negative performance, which improves with partial conditioning. The performance measures are weakly sensitive to the return generating process. Tests that do not incorporate the contemporaneous cross-correlations in the returns among individual funds consistently alter and reverse the conditioning information-based performance inferences and the large fund effect. (Abstract shortened by UMI.).
Author: Mohamed A. Ayadi Publisher: ISBN: Category : Fixed-income securities Languages : en Pages : 0
Book Description
The dissertation consists of four essays that address several issues related to the performance of Canadian equity and fixed-income mutual funds. In the first essay, a general asset pricing framework is used to derive a conditional asset pricing kernel that accounts efficiently for time variation in expected returns and risk, and is suitable to perform (un)conditional evaluations of passive and dynamic investment strategies. The abnormal unconditional performance of Canadian equity mutual funds over the period 1989-1999 becomes negative with conditioning. The performance statistics are weakly sensitive to changes in the level of relative risk aversion of the uninformed investor. The reversal in the size-based performance results with limited information conditioning is alleviated somewhat with an expansion of the conditioning set. Estimates of survivorship bias due to the elimination of funds with shorter lives, which range from 36 to 58 basis points per year, are stable across performance models but differ across groupings by fund objective. In the second essay, we examine the sensitivity of various measures of portfolio performance using various return-based linear benchmark models in both their unconditional and conditional versions for a sample of Canadian equity mutual funds. In a departure from the current literature, performance inferences are based on tests that incorporate the contemporaneous cross-correlations across fund returns. In the third essay, we use higher-order moment and nonlinear asset pricing kernel models to estimate the risk-adjusted performance of a sample of Canadian equity mutual funds. (Un)conditional frameworks are developed that are suitable to perform evaluations of fixed weight and dynamic strategies. The results show that the weak unconditional performance becomes positive and significant with nonlinear and conditional kernel-based benchmarks. In the fourth essay, we presents new evidence on the performance of Canadian fixed-income funds using various linear single- and multi-factor benchmark models based on a sample of Canadian fixed-income mutual funds over the period, 1985-2000. Frameworks are developed that are suitable to perform evaluations of fixed-weight and dynamic strategies. The results show evidence of negative performance, which improves with partial conditioning. The performance measures are weakly sensitive to the return generating process. Tests that do not incorporate the contemporaneous cross-correlations in the returns among individual funds consistently alter and reverse the conditioning information-based performance inferences and the large fund effect. (Abstract shortened by UMI.).
Author: Michèle Breton Publisher: Springer Science & Business Media ISBN: 0387251189 Category : Business & Economics Languages : en Pages : 268
Book Description
GERAD celebrates this year its 25th anniversary. The Center was created in 1980 by a small group of professors and researchers of HEC Montreal, McGill University and of the Ecole Polytechnique de Montreal. GERAD's activities achieved sufficient scope to justify its conversion in June 1988 into a Joint Research Centre of HEC Montreal, the Ecole Polytechnique de Montreal and McGill University. In 1996, the U- versite du Quebec a Montreal joined these three institutions. GERAD has fifty members (professors), more than twenty research associates and post doctoral students and more than two hundreds master and Ph.D. students. GERAD is a multi-university center and a vital forum for the devel- ment of operations research. Its mission is defined around the following four complementarily objectives: • The original and expert contribution to all research fields in GERAD's area of expertise; • The dissemination of research results in the best scientific outlets as well as in the society in general; • The training of graduate students and post doctoral researchers; • The contribution to the economic community by solving important problems and providing transferable tools.
Author: Cheng F. Lee Publisher: Center for PBBEFR & Airiti Press ISBN: 9866286657 Category : Business & Economics Languages : en Pages :
Book Description
Advances in Quantitative Analysis of Finance and Accounting (New Series) is an annual publication designed to disseminate developments in the quantitative analysis of finance and accounting. The publication is a forum for statistical and quantitative analyses of issues in finance and accounting as well as applications of quantitative methods to problems in financial management, financial accounting, and business management. The objective is to promote interaction between academic research in finance and accounting and applied research in the financial community and the accounting profession.
Author: Minwir Al-Shammari Publisher: Springer ISBN: 3319211587 Category : Business & Economics Languages : en Pages : 279
Book Description
This book is devoted to recent developments and applications of multiple criteria decision aid tools in the field of finance, insurance and investment. It illustrates recent methods and procedures designed to solve problems related to finance, insurance and portfolio selection formulated through a mathematical programming framework and for which a large number of conflicting and incommensurable objectives (criteria, attributes) is simultaneously optimized. The book introduces researchers and practitioners to recent theoretical and methodological developments in multi-attributes portfolio selection, multiple criteria analysis in finance, insurance and investment. It is based on selected and invited papers presented and discussed at the 2013 International Conference on Multidimensional Finance, Insurance and Investment (ICMFII’13), held at the College of Business Administration at the University of Bahrain from 25th to 27th November 2013 with the co-sponsorship of the International Society on Multiple Criteria Decision Making and the Institute for Operations Research and the Management Sciences - MCDM section.
Author: Jeffrey A. Frankel Publisher: University of Chicago Press ISBN: 0226260216 Category : Business & Economics Languages : en Pages : 428
Book Description
This timely volume addresses three important recent trends in the internationalization of United States equity markets: extensive market integration through foreign investment and links among stock prices around the world; increasing securitization as countries such as Japan come to rely more than ever before on markets in equities and bonds at the expense of banks; and the opening of national financial systems of newly industrializing countries to international financial flows and institutions, as governments remove capital controls and other barriers. Eight essays examine such issues as the current extent of international market integration, gains to U.S. investors through international diversification, home-country bias in investing, the role of time and location around the world in stock trading, and the behavior of country funds. Other, long-standing questions about equity markets are also addressed, including market efficiency and the accuracy of models of expected returns, with a particular focus on variances, covariances, and the price of risk according to the Capital Asset Pricing Model.
Author: Carlos Sánchez González Publisher: Emerald Group Publishing ISBN: 1787438007 Category : Business & Economics Languages : en Pages : 263
Book Description
Sánchez González develops an innovative model that considers different management stages of mutual fund companies, overcoming the traditional dispute between the different approaches used in banking and insurance research.
Author: Wayne Ferson Publisher: MIT Press ISBN: 0262039370 Category : Business & Economics Languages : en Pages : 497
Book Description
An introduction to the theory and methods of empirical asset pricing, integrating classical foundations with recent developments. This book offers a comprehensive advanced introduction to asset pricing, the study of models for the prices and returns of various securities. The focus is empirical, emphasizing how the models relate to the data. The book offers a uniquely integrated treatment, combining classical foundations with more recent developments in the literature and relating some of the material to applications in investment management. It covers the theory of empirical asset pricing, the main empirical methods, and a range of applied topics. The book introduces the theory of empirical asset pricing through three main paradigms: mean variance analysis, stochastic discount factors, and beta pricing models. It describes empirical methods, beginning with the generalized method of moments (GMM) and viewing other methods as special cases of GMM; offers a comprehensive review of fund performance evaluation; and presents selected applied topics, including a substantial chapter on predictability in asset markets that covers predicting the level of returns, volatility and higher moments, and predicting cross-sectional differences in returns. Other chapters cover production-based asset pricing, long-run risk models, the Campbell-Shiller approximation, the debate on covariance versus characteristics, and the relation of volatility to the cross-section of stock returns. An extensive reference section captures the current state of the field. The book is intended for use by graduate students in finance and economics; it can also serve as a reference for professionals.
Author: Michael McAleer Publisher: MDPI ISBN: 3038974439 Category : Business & Economics Languages : en Pages : 536
Book Description
Risk measures play a vital role in many subfields of economics and finance. It has been proposed that risk measures could be analysed in relation to the performance of variables extracted from empirical real-world data. For example, risk measures may help inform effective monetary and fiscal policies and, therefore, the further development of pricing models for financial assets such as equities, bonds, currencies, and derivative securities.A Special Issue of “Risk Measures with Applications in Finance and Economics” will be devoted to advancements in the mathematical and statistical development of risk measures with applications in finance and economics. This Special Issue will bring together the theory, practice and real-world applications of risk measures. This book is a collection of papers published in the Special Issue of “Risk Measures with Applications in Finance and Economics” for Sustainability in 2018.
Author: Mohamed A. Ayadi
Author: Mohamed A. Ayadi
Author: Michèle Breton
Author: 
Author: Cheng F. Lee
Author: Minwir Al-Shammari
Author: Jeffrey A. Frankel
Author: Carlos Sánchez González
Author: Wayne Ferson
Author: Bank of Canada
Author: Michael McAleer