| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w14355 |
| 来源ID | Working Paper 14355 |
| Trades of the Living Dead: Style Differences, Style Persistence and Performance of Currency Fund Managers | |
| Momtchil Pojarliev; Richard M. Levich | |
| 发表日期 | 2008-09-19 |
| 出版年 | 2008 |
| 语种 | 英语 |
| 摘要 | We make use of a new database on daily currency fund manager returns over a three-year period, 2005-08. This higher frequency data allows us to estimate both alpha measures of performance and beta style factors on a yearly basis, which in turn allows us to test for persistence. We find no evidence to support alpha persistence; a manager's alpha in one year is not significantly related to his alpha in the prior year. On the other hand, there is substantial evidence for style persistence; funds that rely on carry, trend or value trading or with a long/short bias toward currency volatility are likely to maintain that style in the following year. In addition, we are able to examine the performance of managers that survive through the entire sample period, versus those that drop out. We find significant differences in both the investment styles of living versus deceased funds, as well as their realized alpha performance measures. We conjecture that both style differences and ineffective market timing, rather than market conditions, have impacted performance outcomes and induced some managers to close their funds. |
| 主题 | International Economics ; International Finance ; Financial Economics ; Portfolio Selection and Asset Pricing ; Financial Markets |
| URL | https://www.nber.org/papers/w14355 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/572029 |
| 推荐引用方式 GB/T 7714 | Momtchil Pojarliev,Richard M. Levich. Trades of the Living Dead: Style Differences, Style Persistence and Performance of Currency Fund Managers. 2008. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w14355.pdf（349KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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