http://hdl.handle.net/10071/5810 2018-10-13T12:43:17Z 2018-10-13T12:43:17Z Benos, E. Jochec, M. http://hdl.handle.net/10071/14085 2017-07-20T01:16:43Z 2011-01-01T00:00:00Z

Title: Short term persistence in mutual fund market timing and stock selection abilities Authors: Benos, E.; Jochec, M. Abstract: Using daily return data from 448 actively managed mutual funds over a recent 9-year period, we look for persistence, over two consecutive quarters, in the ability of funds to select individual stocks and time the market. That is, we decompose overall fund performance into excess returns resulting from stock selection and timing abilities and we separately test for persistence in each ability. We find persistence in the ability to time the market only among well performing funds and in the ability to select stocks only among the very best and worst performers. The existing literature patterns appear only when funds are ranked by their overall performance, which includes stock selection, market timing and fees. With respect to overall performance, there is persistence among most poorly performing and only the top well performing funds. Furthermore, the profitability of a winner-picking strategy depends on the rebalancing frequency and potentially the size of the investment. Small investors cannot profit, whereas large investors can take advantage of the class-A share fee structure and realize positive abnormal returns by annually rebalancing their portfolios.

2011-01-01T00:00:00Z Alpalhão, R. Alves, P. http://hdl.handle.net/10071/11744 2016-12-27T03:57:55Z 2013-01-01T00:00:00Z

Title: States as LBO specialists: evidence from Portugal Authors: Alpalhão, R.; Alves, P. Abstract: The paper’s purpose is to quantify the performance of a State in its action as a de facto LBO specialist, taking companies private to restructure them and subsequently reselling them in the share market. A sample comprising all the listed companies nationalized in Portugal in 1975 and 1976 that were subsequently privatised through a relisting by means of a share issue is constructed. The returns earned by the Portuguese Republic are computed, comparing the market values of nationalised companies at the time of their privatization with their theoretical value in a non-nationalization scenario. A negative abnormal return for the Portuguese Republic’s investment in shares is found. This negative return is much worse than the ones computed in similar work for France.

2013-01-01T00:00:00Z Benos, E. Jochec, M. http://hdl.handle.net/10071/11741 2016-12-27T03:57:59Z 2013-01-01T00:00:00Z

Title: Patriotic name bias and stock returns Authors: Benos, E.; Jochec, M. Abstract: Companies whose names contain the words "America(n)" or "USA" earn positive abnormal returns of about 6% per annum during World War II, the Korean War, and the War on Terrorism. These abnormal returns are not realized immediately upon the outbreak of each of the wars but are accumulated gradually during wartime. Given that no such effect is observed for the Vietnam War, we hypothesize that major, victorious wars arouse investors' patriotic feelings and cause them to gradually and perhaps subconsciously gravitate toward stocks whose name has a patriotic flavor. Description: WOS:000322683400007 (Nº de Acesso Web of Science)

2013-01-01T00:00:00Z Benos, E. Jochec, M. Nyekel, V. http://hdl.handle.net/10071/9977 2016-12-27T03:09:19Z 2010-01-01T00:00:00Z

Title: Can mutual funds time risk factors? Authors: Benos, E.; Jochec, M.; Nyekel, V. Abstract: Using daily observations from 448 actively managed funds, we employ the methodology in Bollen and Busse (2001) in order to assess the ability of fund managers to time systematic risk factors. We first construct synthetic portfolios in order to obtain the empirical distribution of timing coefficients under the null hypothesis of no timing ability and then compare this distribution to that of the timing coefficients of the actual funds. Fund managers do not seem to be timing any of the risk factors. We interpret this result as evidence that factor timing ability does not persist over long time periods. © 2010 The Board of Trustees of the University of Illinois.

2010-01-01T00:00:00Z