کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5088844 | 1478332 | 2014 | 20 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Performance of international and global equity mutual funds: Do country momentum and sector momentum matter?
ترجمه فارسی عنوان
عملکرد صندوق های سرمایه گذاری بین المللی و جهانی: آیا حرکت کشور و جنبش بخش مهم است؟
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موضوعات مرتبط
علوم انسانی و اجتماعی
اقتصاد، اقتصادسنجی و امور مالی
اقتصاد و اقتصادسنجی
چکیده انگلیسی
This is the first paper analyzing the impact of index momentum factors on the performance of international and global equity funds. Extending an international, index-based version of the Fama and French (1993) three-factor model by adding the factors of country momentum and sector momentum, we find that more than 50% of funds exhibit significant exposure to at least one of these factors. Including both new factors in performance evaluation clearly impacts results when analyzing (i) the risk-adjusted performance, (ii) the performance persistence of funds, and (iii) luck versus skill in the cross-section of funds. Our main results are robust against models which additionally cover a stock-based momentum factor as well as single country, regional and sector factors.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Banking & Finance - Volume 43, June 2014, Pages 58-77
Journal: Journal of Banking & Finance - Volume 43, June 2014, Pages 58-77
نویسندگان
Bernhard Breloer, Hendrik Scholz, Marco Wilkens,