| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP10639 |
| DP10639 Downside Risk Timing by Mutual Funds | |
| Andrei Simonov; Andriy Bodnaruk | |
| 发表日期 | 2015-05-31 |
| 出版年 | 2015 |
| 语种 | 英语 |
| 摘要 | We study whether mutual funds systematically manage downside risk of their portfolios in ways that improve their performance. We find that actively managed mutual funds on average possess positive downside risk timing ability. Funds investing in large-cap and value stocks have stronger downside risk timing skills. Managers adjust funds? downside risk exposure in response to macroeconomic information. The economic value of downside risk timing is comparable to that of market timing. |
| 主题 | Financial Economics |
| 关键词 | Downside risk Mutual funds Market timing |
| URL | https://cepr.org/publications/dp10639 |
| 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/539471 |
| 推荐引用方式 GB/T 7714 | Andrei Simonov,Andriy Bodnaruk. DP10639 Downside Risk Timing by Mutual Funds. 2015. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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