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We evaluate the impact of the Eurozone sovereign debt crisis on the performance and performance persistence of a survivorship bias-free sample of bond funds from a small market, identified as one of the most affected by this event, during the 2001–2012 period. Besides avoiding data mining, we...
This study investigates the value added by financial advisors on the investment performance of advised versus non-advised individuals. A sample of 4 142 individual investors from a large South African investment house were analysed over a period of 10 years from 1 January 2005 to 31 December...
There are two theories on the relationship between primary and secondary markets for securities. The first states that the expansion of IPO financing leads to a decline in stock prices, i.e. an expansion curse effect. The other states that the stock index cycle leads to a corresponding periodic...
This paper examines the forecasting power of the volatility index of Canada (VIXC) and GARCH-family volatility. Specifically, this paper is motivated by an enquiry into how well volatility estimators predict volatility changes. To this end, we use a daily series of VIXC from 1 October 2009...
Contrary to the findings in mutual funds, both size and value effects appear in equity hedge funds. Small-cap/value funds outperform large-cap/growth funds. Both asset and share liquidity measures show that small-cap/value funds manage less liquid assets and are more likely to have lockup...
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