1,720,959 research outputs found
Chasing stock market returns: mutual funds extrapolative flow, performance and asset pricing implications
Get PDFSurvey evidence shows that investor expectations on future market realizations are highly
correlated with in
ows into mutual funds and tend to extrapolate information from past
returns. This work investigates cyclical determinants of net aggregate fund
ows in Emerging
Markets, it measures the profitability of market-timing strategies of Italian investors in equity
mutual funds and provides first insights about the effects of these strategies on asset prices.
Chapter 2 investigates how cyclical variables drive net aggregate fund
ows towards
Emerging Markets (EMs). Through the aggregation of net
ows of all open-end dedicated
funds, the analysis finds that
ows in equity and fixed income are driven by recent past
performance in both developed and emerging economies. Further analysis confirms that
much of the evidence comes from US and EU larger mutual funds. A structural VAR
shows that
ows become more responsive through time to market uncertainty and rates.
In particular, after the Great Recession
ows exhibit a lower reaction to the S&P index,
becoming more responsive to market volatility and to US interest rates. Furthermore the
US consumer sentiment index has a key role in the explanation of fund
ows and it increased
through time with an effect that is more sluggish and persistent with respect to other cyclical
determinants.
Chapter 3 shows that simple buy-and-hold strategies beat the market-timing strategies
effectively used by Italian investors in equity mutual funds. Therefore, investors should re-
consider their investment behavior and choose cheaper, in terms of fees, and simpler, passive
strategies. The analysis estimates returns from market-timing strategies using aggregate
data on a large sample of equity mutual funds' net
ows and considers funds investing either
in Europe and the Euro Area, or the US, or Emerging Markets. In all cases, buy-and-hold
wins with extra returns that go from 0.24% per quarter (Europe and Euro Area) to 0.87% per
quarter (US market). Differences in the performance of the two strategies are not explained
by differences in risk and risk exposure.
Chapter 4 presents future research developing a discrete asset pricing model with het-erogeneous agents. Some of them, called chasers, develop their demand of the risky asset
relying on extrapolative subjective beliefs, in equilibrium this has effects on the asset price.Survey evidence shows that investor expectations on future market realizations are highly
correlated with in
ows into mutual funds and tend to extrapolate information from past
returns. This work investigates cyclical determinants of net aggregate fund
ows in Emerging
Markets, it measures the profitability of market-timing strategies of Italian investors in equity
mutual funds and provides first insights about the effects of these strategies on asset prices.
Chapter 2 investigates how cyclical variables drive net aggregate fund
ows towards
Emerging Markets (EMs). Through the aggregation of net
ows of all open-end dedicated
funds, the analysis finds that
ows in equity and fixed income are driven by recent past
performance in both developed and emerging economies. Further analysis confirms that
much of the evidence comes from US and EU larger mutual funds. A structural VAR
shows that
ows become more responsive through time to market uncertainty and rates.
In particular, after the Great Recession
ows exhibit a lower reaction to the S&P index,
becoming more responsive to market volatility and to US interest rates. Furthermore the
US consumer sentiment index has a key role in the explanation of fund
ows and it increased
through time with an effect that is more sluggish and persistent with respect to other cyclical
determinants.
Chapter 3 shows that simple buy-and-hold strategies beat the market-timing strategies
effectively used by Italian investors in equity mutual funds. Therefore, investors should re-
consider their investment behavior and choose cheaper, in terms of fees, and simpler, passive
strategies. The analysis estimates returns from market-timing strategies using aggregate
data on a large sample of equity mutual funds' net
ows and considers funds investing either
in Europe and the Euro Area, or the US, or Emerging Markets. In all cases, buy-and-hold
wins with extra returns that go from 0.24% per quarter (Europe and Euro Area) to 0.87% per
quarter (US market). Differences in the performance of the two strategies are not explained
by differences in risk and risk exposure.
Chapter 4 presents future research developing a discrete asset pricing model with het-erogeneous agents. Some of them, called chasers, develop their demand of the risky asset
relying on extrapolative subjective beliefs, in equilibrium this has effects on the asset price.LUISS PhD Thesi
The Performance of Market-Timing Strategies of Italian Mutual Fund Investors
No full textIn this paper, we show that simple buy-and-hold strategies over-perform market-timing strategies effectively used by Italian investors in equity mutual funds. We estimate returns from market-timing strategies using aggregate data on net flows for a large sample of equity mutual funds, available to Italian investors, that buy stocks in the following markets: Europe and the euro area, the United States and Emerging markets. In all cases, buy-and-hold over-performs market-timing with extra returns that go from 0.24 per cent per quarter (Europe and euro area) to 0.87 per cent per quarter (US market). These differences are not explained by differences in risk and risk exposure. Investors should re-consider their investment strategies and choose cheaper, in terms of fees and simpler, in terms of portfolio allocation, passive strategies
Going Beyond Counting First Authors in Author Co-citation Analysis
Get PDFThe present study examines one of the fundamental aspects of author co-citation analysis (ACA) - the way co-citation
counts are defined. Co-citation counting provides the data on which all subsequent statistical analyses and mappings
are based, and we compare ACA results based on two different types of co-citation counting - the traditional type that
only counts the first one among a cited work's authors on the one hand and a non-traditional type that takes into
account the first 5 authors of a cited work on the other hand. Results indicate that the picture produced through this non-traditional author co-citation counting contains more coherent author groups and is therefore considerably clearer. However, this picture represents fewer specialties in the research field being studied than that produced through the traditional first-author co-citation counting when the same number of top-ranked authors is selected and analyzed. Reasons for these effects are discussed
Variations on the Author
Get PDF“Variations on the Author” discusses two of Eduardo Coutinho’s recent films (Um Dia na Vida, from 2010, and Últimas Conversas, posthumously released in 2015) and their contribution to the general question of documentary authorship. The director’s filmography is characterized by a consistent yet self-effacing form of authorial self-inscription: Coutinho often features as an interviewer that rather than express opinions propels discourses; an interviewer that is good at listening. This mode of self-inscription characterizes him as an author who is not expressive but who is nonetheless markedly present on the screen. In Um Dia na Vida, however, Coutinho is completely absent form the image, while Últimas Conversas, on the contrary, includes a confessional prologue that moves the director from the margins to the center of his films. This article examines the ways in which these works stand out in the filmography of a director who offers new insights into the notion of cinematic authorship
Appropriate Similarity Measures for Author Cocitation Analysis
Get PDFWe provide a number of new insights into the methodological discussion about author cocitation analysis. We first argue that the use of the Pearson correlation for measuring the similarity between authors’ cocitation profiles is not very satisfactory. We then discuss what kind of similarity measures may be used as an alternative to the Pearson correlation. We consider three similarity measures in particular. One is the well-known cosine. The other two similarity measures have not been used before in the bibliometric literature. Finally, we show by means of an example that our findings have a high practical relevance.information science;Pearson correlation;cosine;similarity measure;author cocitation analysis
Dispelling the Myths Behind First-author Citation Counts
Get PDFWe conducted a full-scale evaluative citation analysis study of scholars in the XML research field to explore just how different from each other author rankings resulting from different citation counting methods actually are, and to demonstrate the capability of emerging data and tools on the Web in supporting more realistic citation counting methods. Our results contest some common arguments for the continued
use of first-author citation counts in the evaluation of scholars, such as high correlations between author rankings by first-author citation counts and other citation
counting methods, and high costs of using more realistic citation counting methods that are not well-supported by the ISI databases. It is argued that increasingly available digital full text research papers make it possible for citation analysis studies to go beyond what the ISI databases have directly supported and to employ more
sophisticated methods
koamabayili/VECTRON-author-checklist: VECTRON author checklist
No full textWe have done our best to complete the author checklist relating to the use of animals in the hut study. Note that the objective for the hut study was to evaluate the IRS treatment applications for residual efficacy against Anopheles mosquitoes, including the local An. coluzzii mosquito population. Cows were only used to attract mosquitoes into the huts and no tests were carried out directly on the cows. The author checklist is intended for use with studies where experiments are carried out on animals, which is why we have had such difficulty in completing this for the hut study, as many of the questions do not relate to how the cows were used
Author-wise bibliometric analysis based on entropy.
No full textAuthor-wise bibliometric analysis based on entropy.</p
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