Essays about: "Tim Hansson"

Found 1 essay containing the words Tim Hansson.

  1. 1. The illiquidity exposure factor: An overlooked driver of mutual fund performance

    University essay from Göteborgs universitet/Graduate School

    Author : Jakob Häger; Tim Hansson; [2023-06-29]
    Keywords : Illiquidity; liquidity; mutual funds; fund performance; factor models; alpha;

    Abstract : This paper examines if Swedish-focused mutual funds with more illiquid holdings produce higher alpha. By extending the classic Fama and French five-factor model, we pinpoint the effect of illiquidity in underlying holdings on mutual fund alpha generation through a two-step regression model with data between 2019-2022. READ MORE