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This study examines the impact of mismatch between prospectus benchmark and fund objectives on benchmark-adjusted fund performance and ranking in a sample of 1281 US equity mutual funds. All funds in our sample report S&P500 index as a prospectus benchmark, yet 2/3 of those are placed in the...
Covered calls are traditionally formed as an overlay on an existing portfolio. Our analysis suggests that covered calls formed in two steps by first optimizing underlying equity positions and then selecting call overwriting weights are not risk-return optimal in general. We introduce an...
The simultaneous management of multiple mutual funds can create distortions in the delegated asset management industry misaligned with the interests of investors and regulators.
At the core of this study is the finding that multi-fund managers cross-subsidize top performing funds at the expense...
The dynamics of return and volatility spillover indices were investigated to reveal the strength and direction of transmission that occurred during a financial crisis. The focus of this study was especially placed on the 2007 US subprime mortgage crisis, the global financial crisis, the European...
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