Repository logo
 
Publication

Conditional models in performance evaluation of investment funds in Portugal: selectivity and market timing (daily vs. monthly analysis)

2014Conference object Open access
Simple item page
dc.contributor.authorAfonso, Osvaldo
dc.contributor.authorRodrigues, Paulo M. M.
dc.contributor.authorViegas, Cristina
dc.date.accessioned2014-07-23T10:38:17Z
dc.date.available2014-07-23T10:38:17Z
dc.date.issued2014
dc.date.updated2014-07-16T11:54:56Z
dc.description.abstractInvestment 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.por
dc.identifier.citationAfonso, 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), 2014por
dc.identifier.issn978-989-20-4584
dc.identifier.otherAUT: PRO00147; COL00247
dc.identifier.urihttp://hdl.handle.net/10400.1/4807
dc.language.isoporpor
dc.peerreviewednopor
dc.subjectConditional performance evaluationpor
dc.subjectMarket timingpor
dc.subjectInvestment fundspor
dc.subjectSelectivitypor
dc.subjectConditional modelspor
dc.titleConditional models in performance evaluation of investment funds in Portugal: selectivity and market timing (daily vs. monthly analysis)por
dc.typeconference object
dspace.entity.typePublication
oaire.citation.conferencePlaceLoulé (Vilamoura), Portugalpor
oaire.citation.titlePortuguese Finance Network 8th Finance Conferencepor
person.familyNameAfonso
person.familyNameRodrigues
person.familyNameViegas
person.givenNameOsvaldo
person.givenNamePaulo
person.givenNameCristina
person.identifier.ciencia-id471F-6E12-D698
person.identifier.orcid0000-0001-5709-0084
person.identifier.orcid0000-0003-1285-7493
person.identifier.orcid0000-0001-6234-9070
person.identifier.scopus-author-id55914151600
person.identifier.scopus-author-id55303481900
rcaap.rightsopenAccesspor
rcaap.typeconferenceObjectpor
relation.isAuthorOfPublication5f6ea90e-20dd-4c17-bdb6-e11a3429f6ac
relation.isAuthorOfPublication043d1fec-b8b8-4ddc-9350-165d4fc4760d
relation.isAuthorOfPublicationa6709f88-dd75-44bb-8a99-fe01f5eaf023
relation.isAuthorOfPublication.latestForDiscoverya6709f88-dd75-44bb-8a99-fe01f5eaf023

Files

Original bundle
Now showing 1 - 1 of 1
Thumbnail Image
Name:
2014 Full Paper CONDITIONAL MODELS IN PERFORMANCE EVALUATION OF INVESTMENT FUNDS IN PORTUGAL-Preliminary Version.pdf
Size:
172.68 KB
Format:
Adobe Portable Document Format
Download
License bundle
Now showing 1 - 1 of 1
No Thumbnail Available
Name:
license.txt
Size:
1.61 KB
Format:
Item-specific license agreed upon to submission
Description:
Download

Collections

FEC2-Artigos (em revistas ou actas indexadas)