Essays about: "Gross and net alpha"

Showing result 1 - 5 of 6 essays containing the words Gross and net alpha.

  1. 1. Sustainable Investments in Times of Crisis

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Anton Johanson; Tobias Persson; [2023]
    Keywords : Funds value added; Gross and net alpha; Covid-19; ESG; Green and Brown funds;

    Abstract : This paper examines the effect of Covid-19 on green and brown funds in the Swedish Premium Pension System (PPS). We apply the methodology derived in Berk and van Binsbergen (2015) in a difference-in-difference model with time-fixed effects to estimate the average effect of Covid-19 on green funds for both value added and conventional alpha measures. READ MORE

  3. 2. Skill, Scale and Investor Return in Established and Emerging Markets - An empirical study of equity mutual fund performance between markets with contrasting characteristics

    University essay from

    Author : Olle Fröling; Olle Wingstrand; [2022-06-29]
    Keywords : Equity Mutual Funds; Decreasing Returns to Scale; Alpha; Fund Skill; Fama-French Five-Factor Model; Nordic Equity Funds; Asian Equity Funds; Fixed Effects;

    Abstract : In this report we empirically analyze the effects of returns to scale for equity mutual funds in the Nordic and Asian regions. We also investigate whether or not funds generate alpha (i.e., have skill). READ MORE

  4. 3. Examining the Existence of the Characteristic Liquidity Premium: A Study of the U.S. Stock Market

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Joel Ejdesjö; Maxime Karl Marcel Rundström; [2022]
    Keywords : Characteristic liquidity premium; liquidity dimension; low-frequency effective spread; transaction cost mitigation; net returns alpha;

    Abstract : This paper examines the existence of a characteristic liquidity premium among U.S. stock returns between January 1964 and December 2021 after adjusting for transaction costs. Liquidity is estimated using four different measures in order to capture different dimensions of liquidity (price impact, trading cost, trading speed, and trading quantity). READ MORE

  5. 4. Hire or fire?

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Elin Larsson; Antonia Zander; [2019]
    Keywords : Active Management; Carhart’s Four Factor Model; Gross and Net Returns; Jensen’s Alpha; Sharpe Ratio.; Business and Economics;

    Abstract : Today fund investment options are endless. To be able to profit, talented fund managers are of great importance. The purpose of this thesis is to communicate the real performance of managers and if they are skilled enough to cover their costs. This analysis can contribute to the decision of hiring or firing a fund manager. READ MORE

  6. 5. Competition in the U.S. Mutual Fund Industry: A performance evaluation of actively managed domestic equity mutual funds

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Adam Öster; [2017]
    Keywords : Performance evaluation; equity mutual fund; CAPM; Jensen´s alpha; OLS regression; Business and Economics;

    Abstract : I evaluate a total of 204 U.S. equity mutual funds split into one major group and one additional group for the time period 2002-2016. The major group consists of the ten largest U. READ MORE