Funds that display strong (weak) performance over a past period continue to do so in future periods. More importantly, Huij demonstrates that some fund managers are able to outperform a strategy that invests in passive indexes for a short period of time. He defends his thesis on Thursday March 8, 2007 at Erasmus University Rotterdam.
These results add new insights to long-running debates on the benefits of actively managed funds vis-à-vis passive portfolios. Furthermore, Huij tests the cross-sectional explanatory power of multi-factor models to explain mutual fund returns. Performance estimates resulting from these models are biased because the factor proxies do not incorporate transaction costs and trading restrictions, says Huij. He suggests that factor proxies based on mutual fund returns rather than stock returns provide better benchmarks to evaluate professional money managers. Finally, Huij investigates the impact of fund marketing on investor flows to other funds in the family. High-marketing funds generate spillovers, and enhance cash inflows to low-marketing funds in the family. An explanation of this observation is that funds with low marketing expenses are directly subsidized by family members with high marketing expenses. At least part of the spillovers can be attributed to favoritism. These findings suggest that conflicts of interest between investors and fund families have been exacerbated by competition in the mutual fund industry.
The Erasmus Research Institute of Management (ERIM) is the research school in the field of management of the Erasmus University Rotterdam. The founding participants of ERIM are RSM Erasmus University and the Erasmus School of Economics. ERIM was founded in 1999 and officially is accredited by the Royal Netherlands Academy of Arts and Science (KNAW). The objective of ERIM is to carry out first rate research in management and to offer an advanced doctoral programme in Research of Management.
Yvette Nelen | alfa
Corporate coworking as a driver of innovation
22.11.2017 | Fraunhofer-Institut für Arbeitswirtschaft und Organisation IAO
Mathematical confirmation: Rewiring financial networks reduces systemic risk
22.06.2017 | International Institute for Applied Systems Analysis (IIASA)
DNA molecules that follow specific instructions could offer more precise molecular control of synthetic chemical systems, a discovery that opens the door for engineers to create molecular machines with new and complex behaviors.
Researchers have created chemical amplifiers and a chemical oscillator using a systematic method that has the potential to embed sophisticated circuit...
MPQ scientists achieve long storage times for photonic quantum bits which break the lower bound for direct teleportation in a global quantum network.
Concerning the development of quantum memories for the realization of global quantum networks, scientists of the Quantum Dynamics Division led by Professor...
Researchers have developed a water cloaking concept based on electromagnetic forces that could eliminate an object's wake, greatly reducing its drag while...
Tiny pores at a cell's entryway act as miniature bouncers, letting in some electrically charged atoms--ions--but blocking others. Operating as exquisitely sensitive filters, these "ion channels" play a critical role in biological functions such as muscle contraction and the firing of brain cells.
To rapidly transport the right ions through the cell membrane, the tiny channels rely on a complex interplay between the ions and surrounding molecules,...
The miniaturization of the current technology of storage media is hindered by fundamental limits of quantum mechanics. A new approach consists in using so-called spin-crossover molecules as the smallest possible storage unit. Similar to normal hard drives, these special molecules can save information via their magnetic state. A research team from Kiel University has now managed to successfully place a new class of spin-crossover molecules onto a surface and to improve the molecule’s storage capacity. The storage density of conventional hard drives could therefore theoretically be increased by more than one hundred fold. The study has been published in the scientific journal Nano Letters.
Over the past few years, the building blocks of storage media have gotten ever smaller. But further miniaturization of the current technology is hindered by...
11.12.2017 | Event News
08.12.2017 | Event News
07.12.2017 | Event News
15.12.2017 | Power and Electrical Engineering
15.12.2017 | Materials Sciences
15.12.2017 | Life Sciences