Sesgos en los modelos de sincronización tradicionales
Contenido principal del artículo
Resumen
Descargas
Detalles del artículo
Esta obra está bajo una https://creativecommons.org/licenses/by-nc-nd/4.0/deed.es.
Creado a partir de la obra en http://www.eltrimestreeconomico.com.mx/index.php/te/index
Nota: la licencia de creative commons sólo aplica para la sección Artículos, para el contenido de las otras secciones, véase cada texto.
Métricas PlumX
Citas
Admati, A., S. Bhattacharya, P. Pfleiderer P y S. Ross (1986), “On Timing and Selectivity”, Journal of Finance; 41, pp. 715-730.
Asness C., R. Krail y J. Liew (2001), “Do Hedge Funds Hedge?”, Journal of Portfolio Management, 28, pp. 6-19.
Ayadi M. A., y L. Kryzanowsky (2004), “Performance of Canadian Fixed-Income Mutual Funds”, artículo presentado en la reunión de la Portuguese Finance Network, 15-16 de julio, Lisboa.
Bollen, N., J. Busse (2001), “On the Timing Ability of Mutual Fund Managers”, Journal of Finance, 56, pp. 1075-1094.
--, y -- (2004), “Short-Term Persistence in Mutual Fund Performance”, Review of Financial Studies, 12, pp. 1009-1041.
Brown, S., D. Gallagher, O. Steenbeek y P. Swann (2005), “Doubling or Nothing: Patterns of Equity Fund Holdings and Transaction”, EFA Moscow Meetings Paper (disponible en http://ssrn.com/abstract=555423).
Busse, J. (1999), “Timing de la volatilidad in Mutual Funds: Evidence from Daily Returns”, Review of Financial Studies 12, pp. 1009-1041.
Carhart, M. M. (1977), “On Persistence in Mutual Fund Performance”, Journal of Finance 52, pp. 57-82.
--, J. N., Carpenter, A. Lynch y D. K. Musto (2002), “Mutual Fund Survivorship”, Review of Financial Studies, pp. 1439-1463.
Chen, Y., y B. Liang (2007), “Do Market Timing Hedge Funds Time the Market?”, Journal of Financial and Quantitative Analysis 42(4), pp. 827-856.
--, W. Ferson y H. Peters (2005), “Measuring the Timming Ability of Fixed Income Mutual Funds”, Working Paper, Boston College.
Christopherson, J. A., W. E. Ferson y D. A. Glassman (1998), “Conditioning Manager Alpha on Economic Information: Another Look at the Persistence of Performance”, Review of Financial Studies 11, pp. 111-142.
Cortez, M. C., y F. Silva (2002), “Conditioning Information on Portfolio Performance Evaluation: A Re-examination of Performance Persistence in the Portuguese Mutual Fund Market”, Finance India, 16, pp. 1393-1408.
Edelen, M. R. (1999), “Investor Flows and the Assessed Performance of Open-end Mutual Funds, Journal of Financial Economics 53(3), pp. 439-466.
Fama, E. (1972), “Components of Investment Performance”, Journal of Finance 27, pp. 551-567.
--, y K. R. French (1993), “Common Risk Factors in the Returns on Stocks and Bonds”, Journal of Financial Economics 33, pp. 3-56.
Ferson, W., y R. Schadt (1996), “Measuring Fund Strategy and Performance in Changing Economic Conditions”, Journal of Finance 51, pp. 425-462.
--, y V. Warther (1996), “Evaluating Fund Performance in a Dynamic Market”, Financial Analysts Journal 52, pp. 20-28.
--, y M. Quian (2004), “Conditional Performance Evaluation Revisited”, Research Foundation Monograph of the CFA Institue (AIMR).
--, T. Henry y D. Kisgen (2006), “Evaluating Government Bond Funds with Stochastic Discount Factors”, Review of Financial Studies 19, pp. 423-455.
Fung, H., E. Xo y J. Yau (2002), “Global Hedge Funds: Risk, Return, and Market Timming”, Financial Analysis Journal 58, pp. 19-30.
Gallagher, D. R., P. L. Swan y A. N. Ross (2007), “Individual Security Timing Ability and Fund Manager Performance”, Working Paper, University of New South Wales (disponible en http://ssrn.com/abstract=989867).
Getmansky, M., A. Lo e I. Makarov (2004), “An Econometric Model of Serial Correlation and Illiquidity in Hedge Funds Returns”, Journal of Financial Economics 74, pp. 529-609.
Goetzmann, W., J. Ingersoll y Z. Ivkovich (2000), “Monthly Measurement of Daily Timers”, Journal of Financial and Quantitative Analysis 35, pp. 257-290.
Hallahan, T. A., y R. W. Faff (2001), “Induced Persistence or Reversals in Fund Performance?: The Effect of Survivor Bias”, Applied Financial Economics 11, pp. 119-126.
Jagannathan, R., y R. Korajczyk (1986), “Assessing the Market Timing Performance of Managed Portfolios”, Journal of Business 59, pp. 217-235.
Jensen, M. C. (1968), “The Performance of Mutual Funds in the Period 1945-1964”, Journal of Finance 23, pp. 389-416.
-- (1972), “Optimal Utilization of Market Forecasts and the Evaluation of Investment Performance”, Szego y Shell (comps.), Mathematical Methods in Investment and Finance, Amsterdam, North Holland/American Elsevier.
Jiang, G. J, T. Yao y T. Yu (2005), “Do Mutual Funds Time the Market? Evidence from Portfolio Holdings”, AFA 2005 Philadelphia Meetings Paper.
Kothari, S. P., y J. Warner (2001), “Evaluating Mutual Fund Performance”, Journal of Finance 56, pp. 1985-2010.
Lhabitant, F. S. (2001), “On Swiss Timing and Selectivity: In the Quest of Alpha”, Financial Markets and Portfolio Management 15(2), pp. 154-172.
Matallín, J. C. (2006), “Lo que la verdad esconde: ¿importa el tamaño en la gestión de los fondos de inversión?”, Estudios Financieros. Revista de Contabilidad y Tributación 285, pp. 183-216.
--, D. Moreno y R. Rodríguez (2007), “Por qué la habilidad de sincronización parece ser negativa”, artículo presentado en la reunión anual del XV Foro de Finanzas 2007, 15-16 de noviembre, Palma de Mallorca.
Merton, R. C., y R. D. Henriksson (1981), “On Market Timing and Investment Performance II: Statistical Procedures for Evaluating Forecasting Skills”, Journal of Business 54, pp. 513-534.
Pastor L., y R. F. Stambaugh (2002), “Mutual Fund Performance and Seemingly Unrelated Assets”, Journal of Financial Economics 63(3), pp. 315-349.
Roy, B., y S. S. Deb (2004), “Conditional Alpha and Performance Persistence for Indian Mutual Funds: Empirical Evidence”, Journal of Applied Finance, pp. 30-48.
Rubinstein, M. A. (1973), “A Comparative Static Analysis of Risk Premium”, Journal of Business 46, pp. 605-615.
Rubio, G. (1993), “Performance Measurement of Manager Portfolios: A Survey”, Investigaciones Económicas 17(1), pp. 3-41.
Somasundaram S. (2007), “The Quest for “α”: —How Far Does it Exist? — An Empirical Analysis of the Relative Performance of Active-Passive Management Issue for Indian Equity Mutual Funds”, Working Paper Series (disponible en http://ssrn.com/abstract=1023922).
Treynor, J. y K. Mazuy (1996), “Can Mutual Funds Outguess the Market?”, Harvard Business Review 44, pp. 131-136.
Volkman, D. (1999), “Market Volatility and Perverse Timing Performance of Mutual Fund Managers”, The Journal of Financial Research 22, pp. 449-471.