scholarly journals Performance measurement models and their influence on net fundraising of investment funds

2018 ◽  
Vol 29 (78) ◽  
pp. 435-451
Author(s):  
Anderson Rocha de J. Fernandes ◽  
Simone Evangelista Fonseca ◽  
Robert Aldo Iquiapaza
Keyword(s):  
Risk Factors ◽  
Fixed Effects ◽  
Time Windows ◽  
Explanatory Power ◽  
Fund Performance ◽  
Capital Asset Pricing ◽  
Investment Funds ◽  
Measurement Models ◽  
Asset Pricing Models ◽  
Two Phases

ABSTRACT This article aims to analyze the relation between third- and fourth-order conditions and risk factors and their adequacy to return, performance, and net fundraising. The factors used to determine fund performance and, consequently, their relation with fundraising are: market return, size, book-to-market, profitability, investment, co-skewness, and co-kurtosis. The funds constituting the sample are those classified as Free Stocks (within the period from April 2001 to April 2015). Methodologically, this study has two phases. The first one refers to estimating the parameters that represent fund sensitivity to the factors and the comparison of the capital asset pricing models (CAPM), Fama-French-Carhart 4-factor (FFC), Fama-French 5-factor (FF5), Fama-French 5-factor with momentum (FF5M), added or not with co-moments, by means of the fixed-effects procedure. The second one deals with verifying the relation between performance and net fundraising. The models were reestimated through moving time windows, so that the alpha calculated on each of them represented fund performance within the immediately subsequent period. We also estimated the relation fundraising-performance through cross-section regressions, with rates and age as control variables. The results showed that the co-skewness and co-kurtosis coefficients are not that relevant for determining performance and net fundraising of investment funds. Among the risk factors, market, size, and momentum are the significant parameters for fund returns. The FFC and FF5M models are those with greater explanatory power regarding return specification. There is also evidence of convexity in the relation between performance and fundraising.

Money and the C-CAPM

2009 ◽  
Vol 44 (2) ◽  
pp. 337-368 ◽  
Author(s):  
Ronald J. Balvers ◽  
Dayong Huang
Keyword(s):  
Asset Pricing ◽  
Explanatory Power ◽  
Capital Asset Pricing ◽  
Money Growth ◽  
Liquidity Shocks ◽  
A Value ◽  
Asset Pricing Models ◽  
Monetary Economy ◽  
Growth Firms ◽  
Intertemporal Asset Pricing

AbstractWe consider asset pricing in a monetary economy where liquid assets are held to lower transaction costs. The ensuing model extends the capital asset pricing model (CAPM) and the consumption CAPM by deriving real money growth as an additional factor determining returns. Empirically, the two model versions compare favorably to other theoretical asset pricing models along several dimensions, supporting the traditional intertemporal asset pricing perspective. A value premium arises because value firms are sensitive to liquidity shocks but growth firms are not. Although no alternative factor drives out the money growth factor, the conditioning CAY factors of Lettau and Ludvigson (2001b) add explanatory power.

scholarly journals Comparing Entropy and Beta as Measures of Risk in Asset Pricing

2017 ◽  
Vol 65 (6) ◽  
pp. 1889-1894 ◽  
Author(s):  
Galina Deeva
Keyword(s):  
Asset Pricing ◽  
Shannon Entropy ◽  
Explanatory Power ◽  
Kernel Density ◽  
Parametric Estimation ◽  
Capital Asset Pricing ◽  
Risk Premiums ◽  
Risk Return ◽  
Asset Pricing Models ◽  
Non Parametric Estimation

The paper establishes entropy as a measure of risk in asset pricing models by comparing its explanatory power with that of classic capital asset pricing model’s beta to describe the diversity in expected risk premiums. Three different non‑parametric estimation procedures are considered to evaluate financial entropy, namely kernel density estimated Shannon entropy, kernel density estimated Rényi entropy and maximum likelihood Miller‑Madow estimated Shannon entropy. The comparison is provided based on the European stock market data, for which the basic risk‑return trade‑off is generally negative. Kernel density estimated Shannon entropy provides the most efficient results not dependent on the choice of the market benchmark and without imposing any prior model restrictions.

scholarly journals What Determines China’s Stock Prices? A CCAPM Horse Race

2020 ◽  
Author(s):  
Jinyu Liu ◽  
Siqun Yang
Keyword(s):  
Stock Returns ◽  
Risk Premium ◽  
Stock Prices ◽  
Habit Formation ◽  
Important Determinant ◽  
Explanatory Power ◽  
Capital Asset Pricing ◽  
Capital Asset ◽  
Housing Service ◽  
Asset Pricing Models

This paper studies China’s stock prices in the framework of consumption-based capital asset pricing models (CCAPM). Using China’s quarterly stock market data from 1991 to 2019, we estimate and compare four versions of CCAPM: the classical CCAPM, CCAPM with housing service consumption, with habit formation, and with both. We find habit formation affects stock returns only if housing service consumption is considered. Further, although every model is consistent with data to certain extent, the models with habit formation perform substantially better. In particular, the model with both habit formation and housing service consumption fits the data best and has the largest explanatory power on risk premium. The findings imply that habit formation is an important determinant of China’s stock prices, and its impact is mostly via the channel of housing service consumption.

scholarly journals International Asset Pricing Models: The Case of ASEAN Stock Markets

2009 ◽  
Author(s):  
Chee-wooi Hooy ◽  
Kim-leng Goh
Keyword(s):  
Asset Pricing ◽  
Stock Markets ◽  
Explanatory Power ◽  
Risk Exposure ◽  
Capital Asset Pricing ◽  
International Capital ◽  
Pricing Models ◽  
Asset Pricing Models ◽  
Regional Factor

This paper is about the role of economic grouping as it affects international capital asset pricing models, ICAPM. The conventional ICAPM is extended to include the economic grouping, regional and world factors. Inclusion of the economic grouping factor increases the explanatory power of the asset pricing models. Data on ASEAN (Indonesia, Malaysia, Philippines, Singapore and Thailand) stock markets are used in tests of the proposed models. The economic grouping factor turned out to be most important while the regional factor is least important for asset pricing in these stock markets. While four of the markets have higher systematic risk exposure to the economic group, the Singapore market, the largest market, exhibits higher exposure to world risk. The segmentation of emerging markets offers a possible explanation of these results.  

Freedom Indices and Capital Asset Pricing Model: Some Malaysian Evidence

2020 ◽  
Vol 1 (1) ◽  
pp. 1-21
Author(s):  
Ying Tay Lee ◽  
Devinaga Rasiah ◽  
Ming Ming Lai
Keyword(s):  
Human Rights ◽  
Asset Pricing ◽  
Stock Returns ◽  
Firm Size ◽  
Explanatory Power ◽  
Least Square ◽  
Press Freedom ◽  
Capital Asset Pricing ◽  
Capital Asset ◽  
Cross Sectional

Human rights and fundamental freedoms such as economic, political, and press freedoms vary widely from country to country. It creates opportunity and risk in investment decisions. Thus, this study is carried out to examine if the explanatory power of the model for capital asset pricing could be improved when these human rights movement indices are included in the model. The sample for this study comprises of 495 stocks listed in Bursa Malaysia, covering the sampling period from 2003 to 2013. The model applied in this study employed the pooled ordinary least square regression estimation. In addition, the robustness of the model is tested by using firm size as a controlled variable. The findings show that market beta as well as the economic and press freedom indices could explain the cross-sectional stock returns of the Malaysian stock market. By controlling the firm size, it adds marginally to the explanation of the extended CAP model which incorporated economic, political, and press freedom indices.

scholarly journals Risk Factors Associated with Irreversible Airway Obstruction in Asthma: A Systematic Review and Meta-Analysis

2016 ◽  
Vol 2016 ◽  
pp. 1-10 ◽  
Author(s):  
Lanlan Zhang ◽  
Lixiu He ◽  
Jin Gong ◽  
Chuntao Liu
Keyword(s):  
Risk Factors ◽  
Systematic Review ◽  
Atopic Dermatitis ◽  
Airway Obstruction ◽  
Fixed Effects ◽  
Meta Analysis ◽  
Case Control Studies ◽  
Smoking Exposure ◽  
Asthma Patients ◽  
Irreversible Airway Obstruction

Irreversible airway obstruction (IAO) is a subtype of asthma and relates to poorer prognosis in some asthma patients. However, the prevalence and risk factors for IAO are unknown. A systematic review regarding controlled clinical studies (cohort, case-control studies) on IAO asthma in adult and/or children affected by asthma/early wheeze was performed. Eighteen papers were identified in this study. It was reported that the incidence of IAO at random effects or fixed effects in severe asthma and nonsevere asthma was 0.54 (95% CI: 0.45–0.62) and 0.16 (95% CI: 0.12–0.20), respectively. In IAO asthma, the pooled odds ratio (OR) related to smoking exposure was 2.22 (95% CI: 1.82–2.73), the OR for male, smoking, and fractional exhaled nitric oxide (FENO) was 2.22 (95% CI: 1.82–2.7), 1.79 (95% CI: 1.46–2.19), and 2.16 (95% CI: 1.05–4.43), respectively, suggesting these factors increase the risk of IAO. However, a decreased OR in IAO asthma was observed due to rhinitis (OR = 0.31, 95% CI: 0.24–0.40), atopy (OR = 0.584, 95% CI: 0.466–0.732), and atopic dermatitis (OR = 0.60, 95% CI: 0.42–0.85), indicating these factors are associated with reduced risk of IAO. IAO in asthma is associated with gender, smoking, FENO, rhinitis, atopy, and atopic dermatitis.

scholarly journals HEDGE FUNDS: RISK AND PERFORMANCE

2018 ◽  
Vol 06 (01) ◽  
pp. 1850003
Author(s):  
SANGHEON SHIN ◽  
JAN SMOLARSKI ◽  
GÖKÇE SOYDEMIR
Keyword(s):  
Risk Factors ◽  
Hedge Funds ◽  
Factor Model ◽  
Explanatory Power ◽  
Hedge Fund ◽  
Investment Strategy ◽  
Time Varying ◽  
Asset Class ◽  
And Performance ◽  
Fund Portfolio

This paper models hedge fund exposure to risk factors and examines time-varying performance of hedge funds. From existing models such as asset-based style (ABS)-factor model, standard asset class (SAC)-factor model, and four-factor model, we extract the best six factors for each hedge fund portfolio by investment strategy. Then, we find combinations of risk factors that explain most of the variance in performance of each hedge fund portfolio based on investment strategy. The results show instability of coefficients in the performance attribution regression. Incorporating a time-varying factor exposure feature would be the best way to measure hedge fund performance. Furthermore, the optimal models with fewer factors exhibit greater explanatory power than existing models. Using rolling regressions, our customized investment strategy model shows how hedge funds are sensitive to risk factors according to market conditions.

scholarly journals Hedge Fund Performance Using Scaled Sharpe And Treynor Measures

2014 ◽  
Vol 13 (6) ◽  
pp. 1261
Author(s):  
Francois Van Dyk ◽  
Gary Van Vuuren ◽  
Andre Heymans
Keyword(s):  
Hedge Funds ◽  
Performance Metrics ◽  
Estimation Error ◽  
Investment Decision ◽  
Hedge Fund ◽  
Fund Performance ◽  
Performance Measure ◽  
Sharpe Ratio ◽  
Investment Funds ◽  
Additional Information

The Sharpe ratio is widely used as a performance measure for traditional (i.e., long only) investment funds, but because it is based on mean-variance theory, it only considers the first two moments of a return distribution. It is, therefore, not suited for evaluating funds characterised by complex, asymmetric, highly-skewed return distributions such as hedge funds. It is also susceptible to manipulation and estimation error. These drawbacks have demonstrated the need for new and additional fund performance metrics. The monthly returns of 184 international long/short (equity) hedge funds from four geographical investment mandates were examined over an 11-year period.This study contributes to recent research on alternative performance measures to the Sharpe ratio and specifically assesses whether a scaled-version of the classic Sharpe ratio should augment the use of the Sharpe ratio when evaluating hedge fund risk and in the investment decision-making process. A scaled Treynor ratio is also compared to the traditional Treynor ratio. The classic and scaled versions of the Sharpe and Treynor ratios were estimated on a 36-month rolling basis to ascertain whether the scaled ratios do indeed provide useful additional information to investors to that provided solely by the classic, non-scaled ratios.

scholarly journals Continuous Equilibrium in Affine and Information-Based Capital Asset Pricing Models

2012 ◽  
Author(s):  
Ulrich Horst ◽  
Michael Kupper ◽  
Andrea Macrina ◽  
Christoph Mainberger
Keyword(s):  
Asset Pricing ◽  
Capital Asset Pricing ◽  
Capital Asset ◽  
Pricing Models ◽  
Asset Pricing Models
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