| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP3452 |
| DP3452 International Evidence on Ethical Mutual Fund Performance and Investment Style | |
| Kees Koedijk; Bob Bauer; Roger Otten | |
| 发表日期 | 2002-07-20 |
| 出版年 | 2002 |
| 语种 | 英语 |
| 摘要 | This paper analyses the international equity holdings of a large panel of UK pension funds. We find considerable evidence of market timing activity, as illustrated by the funds' decision to scale back their investments in the US stock market during the 1990s. To explain this we model portfolio weight dynamics as a function of time-varying conditional moments. We find that a substantial part of the evolution in portfolio weights is explained by time-varying conditional expected returns, volatilities and covariances with domestic equity returns. Consequently, controlling for the effect of state variables that track time-variations in investment opportunities significantly affects estimates of returns from international market timing. Our estimates suggest that the portfolio movements that were orthogonal to such state variables accounted for a net loss of 0.2 per cent per annum for the average fund. |
| 主题 | Financial Economics |
| 关键词 | International asset allocation Market timing Uk pension funds Investment performance |
| URL | https://cepr.org/publications/dp3452 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/532470 |
| 推荐引用方式 GB/T 7714 | Kees Koedijk,Bob Bauer,Roger Otten. DP3452 International Evidence on Ethical Mutual Fund Performance and Investment Style. 2002. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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