Utilize este identificador para referenciar este registo: http://hdl.handle.net/10400.1/4807
Título: Conditional models in performance evaluation of investment funds in Portugal: selectivity and market timing (daily vs. monthly analysis)
Autor: Afonso, Osvaldo
Rodrigues, Paulo M. M.
Viegas, Cristina
Palavras-chave: Conditional performance evaluation
Market timing
Investment funds
Selectivity
Conditional models
Data: 2014
Citação: Afonso, Osvaldo; Rodrigues, Paulo, M.M.; Viegas, Cristina. Conditional Models in Performance Evaluation of Investment Funds in Portugal: Selectivity and Market Timing (daily vs. monthly analysis), Trabalho apresentado em Portuguese Finance Network 8th Finance Conference, In Proceedings of the 8th Portuguese Finance Network Conference, Loulé (Vilamoura), 2014
Resumo: Investment funds’ performance evaluation is one area of finance which has observed many developments over the past 40 years. In this field, traditional techniques of evaluation have not made use of models of conditional returns. These approaches do not allow for the temporal dependence of expected returns. To overcome this problem, Ferson and Schadt (1996) developed a new conditional performance evaluation approach. The present work applies the methodology of Ferson and Schadt (1996) on a sample of 32 Portuguese investment funds observed from 31 December 2005 to 31 December 2013, with the objective to evaluate the performance of these investment funds, in the terms of selectivity and market timing, based on daily and monthly data.
Peer review: no
URI: http://hdl.handle.net/10400.1/4807
ISSN: 978-989-20-4584
Aparece nas colecções:FEC2-Artigos (em revistas ou actas indexadas)



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