with an error term in the regression model, which in turn leads to bias in the estimation of regression coefficients (Acock, 2013; Hair, et al., 2012; Loehlin and Beaujean, 2017). To overcome this
style can be analyzed through performance-based, holding-based and transaction-based framework. Fund return, correlation, tracking error Portfolio turnover, Transactional data Fund constituent (Name and
argument suggests that higher board gender diversity weakens corporate culture. Based on a large sample spanning almost 20 years (2001-2018), our results demonstrate that companies exhibit significantly
flavors of active management (e.g. tactical asset allocation, security selection, etc.). Alpha and beta are at the heart of traditional performance analysis; however, as we show in this paper, they are only
our analyses, which are relative return, tracking error, asset pricing risk factors, holding-based fund beta, and capital flow to fund. Relative return, measured at monthly interval, is computed as the
: ……………………………………...………………….……. ………………………………………………………………………… ………………………………………………………………………… Beta Tracking Error Average Maturity of Debt Instruments Fees to be charged to the fund (% of NAV per annum) Yield to Maturity Fee items Maximum charge Actual charge Country Allocation Management fee
incentives encourage management to show a small amount of earnings increases and a series of consistently earnings increases. Ke (2004) documents the association between executive’s equity-based compensation
) show that in the U.S., trade prices tend to cluster around integers, half-dollars and quarters. Literature review • Round numbers have also been linked to cognitive limitations and investors’ tendency to
) proposed a quantitative measure of spillovers based on the information from Variance Decomposition (VD) of forecast error associated with the N- variables Vector AutoRegressive (VAR) model Cholesky
Turnover Ratio Settlement Period: Sharpe Ratio Alpha Remark: ……………………………………...………………….……. ………………………………………………………………………… ………………………………………………………………………… Beta Tracking Error Average Maturity of Debt Instruments