Effectiveness of Active Equity Management in Institutional Universes
Başlık:
Effectiveness of Active Equity Management in Institutional Universes
Yazar:
Cruz, Gustavo Galindo, author.
ISBN:
9780438043060
Yazar Ek Girişi:
Fiziksel Tanımlama:
1 electronic resource (117 pages)
Genel Not:
Source: Dissertation Abstracts International, Volume: 79-10(E), Section: A.
Advisors: Erick Rengifo Minaya Committee members: Duncan James; Dominick Salvatore.
Özet:
Jensen (1968) and Carhart (1997) provide some evidence that active equity money managers (those that attempt to outperform the market portfolio by selecting a sub-set of securities) are not able to add significant value over a set of common factors. Kosowski, et al. (2006) challenge their findings by using a bootstrap methodology to correct for the non-normality of manager returns and finds that, indeed, a sizable minority of mangers can outperform the market. In addition to reviewing existing literature, including a theoretical framework to argue for the existence of abnormal returns, this work expands the bootstrap methodology proposed by Kosowski, et al. (2006) to institutional manager universes in seven geographies (US, Global, Global Ex US, Emerging Markets, Japan, Europe and Asia Ex Japan) and adapts it for evaluating individual money managers, measure the impact of luck in performance and conduct an out of sample test to determine if past manager success can be used to identify future performance. The conclusions draw from the data confirm the claim by Kosowski, et al. (2006) that a significant minority of managers can generate returns beyond that of the common performance factors; moreover, the out-of-sample test provide some support to the notion that outperforming managers can potentially be identified in advance by analyzing their historical performance pattern.
Notlar:
School code: 0072
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Yer Numarası | Demirbaş Numarası | Shelf Location | Lokasyon / Statüsü / İade Tarihi |
---|---|---|---|
XX(681198.1) | 681198-1001 | Proquest E-Tez Koleksiyonu | Arıyor... |
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