• No results found

Performance prediction in Dine Penger's Norwegian mutual fund ratings : evidence from ratings in the financial media

N/A
N/A
Info
Nedlasting
Protected

Academic year: 2022

Share "Performance prediction in Dine Penger's Norwegian mutual fund ratings : evidence from ratings in the financial media"

Copied!
68
0
0

Laster.... (Se fulltekst nå)

Last ned nå ( 68 sider )

Fulltekst

(1)

.

(2)
(3)
(4)
(5)
(6)
(7)
(8)
(9)
(10)
(11)
(12)
(13)

.

(14)
(15)
(16)

(17)

𝑟

𝑖,𝑡

= 𝑙𝑛 𝑁𝐴𝑉

𝑖,𝑡

𝑁𝐴𝑉

𝑖,𝑡−1

𝑟

𝑖,𝑡

= 𝑙𝑛 𝑁𝐴𝑉

𝑖,𝑡

𝑁𝐴𝑉

𝑖,𝑡−1

(18)
(19)
(20)
(21)
(22)
(23)
(24)
(25)

𝑟

𝑖,𝑡

− 𝑟

𝑓,𝑡

= 𝛼

𝑖

+ 𝛽

𝑖

(𝑟

𝑚,𝑡

− 𝑟

𝑓,𝑡

) + 𝜖

𝑖,𝑡

𝑟

𝑖,𝑡

𝑟

𝑓,𝑡

𝑟

𝑚,𝑡

𝛼

𝑖,𝑡

𝛽

𝑖

𝜖

𝑖,𝑡

(26)

𝑌

𝑖,𝑡

= 𝛼

𝑖

+ 𝛽

1

𝑀𝐾𝑇

𝑡

+ 𝜖

𝑡

𝑌

𝑖,𝑡

𝛼

𝑖

𝑀𝐾𝑇

𝑡

𝑟

𝑓,𝑡

𝑟

𝑖,𝑡

− 𝑟𝑓

𝑡

= 𝛼

𝑖

+ 𝛽

𝑚,𝑖

𝑀𝐾𝑇

𝑡

+ 𝛽

𝑆𝑀𝐵,𝑖

𝑆𝑀𝐵

𝑡

+ 𝛽

𝐻𝑀𝐿,𝑖

𝐻𝑀𝐿

𝑡

+ 𝛽

𝑃𝑅1𝑌𝑅,𝑖

𝑃𝑅1𝑌𝑅

𝑡

+ 𝜀

𝑖,𝑡

(27)

𝛽

𝑚,𝑖

𝛽

𝑆𝑀𝐵,𝑖

𝛽

𝐻𝑀𝐿,𝑖

𝛽

𝑃𝑅1𝑌𝑅,𝑖

𝜀

𝑖,𝑡

𝛼

𝑖

(28)

:

𝑟

𝑖,𝑡

= 𝛼

𝑖,𝑘

+ ∑ 𝛽

𝑖,𝑗,𝑘

𝑟

𝑗,𝑡

+

𝑗

𝜖

𝑖,𝑡

𝛼

𝑖,𝑘

𝛽

𝑖,𝑗,𝑘

𝑟

𝑗,𝑡

𝛼

𝑖

= ∑ 𝛼

𝑖 𝑖,𝑘

𝑘

(29)
(30)
(31)

𝑌

𝑖,𝑡

= 𝛽

0

+ 𝛽

𝑖

𝑋

𝑖,𝑡

+ 𝑢

𝑖

+ 𝜖

𝑖,𝑡

𝑌

𝑖,𝑡

𝛽

0

𝛽

𝑖

𝑋

𝑖,𝑡

𝑢

𝑖

𝜖

𝑖,𝑡

𝑢

𝑖

𝜖

𝑖,𝑡

𝑊

𝑖,𝑡

= 𝑢

𝑖

+ 𝜖

𝑖,𝑡

𝛽

𝑖

𝛽

5

𝛽

1

𝑢

𝑖

, 𝑋

𝑖,𝑡

) = 0

(32)
(33)
(34)
(35)

𝐹𝑢𝑛𝑑 𝑟𝑒𝑡𝑢𝑟𝑛

𝑖,𝑡

= 𝛽

0

+ 𝛽

1

𝑀𝐾𝑇

𝑡

+ (𝛽

2

𝑆𝑀𝐵

𝑡

+ 𝛽

3

𝐻𝑀𝐿

𝑡

+ 𝛽

4

𝑃𝑅1𝑌𝑅

𝑡

) + 𝛽

𝑖

𝐷𝑖𝑐𝑒

𝑖,𝑡

+ 𝑢

𝑖

+ 𝜖

𝑖,𝑡

𝛽

0

𝛽

1

−𝛽

4

𝐷𝑖𝑐𝑒

𝑖,𝑡

𝑢

𝑖

𝜖

𝑖,𝑡

(36)

𝜷

𝟒

𝜷

𝟏𝟐

β β β

β β β β

(37)
(38)

β β β β

(39)

𝐹𝑢𝑛𝑑 𝑟𝑒𝑡𝑢𝑟𝑛

𝑖,𝑡

= 𝛽

0

+ 𝛽

1

𝑀𝐾𝑇

𝑡

+ (𝛽

2

𝑆𝑀𝐵

𝑡

+ 𝛽

3

𝐻𝑀𝐿

𝑡

+ 𝛽

4

𝑃𝑅1𝑌𝑅

𝑡

) + 𝛽

𝑖

𝐷𝑖𝑐𝑒

𝑖,𝑡

+ 𝑢

𝑖

+ 𝜖

𝑖,𝑡

𝛽

0

𝛽

1

−𝛽

4

𝐷𝑖𝑐𝑒

𝑖,𝑡

𝑢

𝑖

𝜖

𝑖,𝑡

(40)
(41)

β β β

(42)

𝐹𝑢𝑛𝑑 𝑟𝑒𝑡𝑢𝑟𝑛

𝑖,𝑡

= 𝛽

0

+ 𝛽

1

𝑀𝐾𝑇

𝑡

+ (𝛽

2

𝑆𝑀𝐵

𝑡

+ 𝛽

3

𝐻𝑀𝐿

𝑡

+ 𝛽

4

𝑃𝑅1𝑌𝑅

𝑡

) + 𝛽

𝑖

𝐷𝑖𝑐𝑒

𝑖,𝑡

+ 𝑢

𝑖

+ 𝜖

𝑖,𝑡

𝛽

0

𝛽

1

−𝛽

4

𝐷𝑖𝑐𝑒

𝑖,𝑡

𝑢

𝑖

𝜖

𝑖,𝑡

(43)
(44)
(45)
(46)
(47)
(48)
(49)
(50)
(51)
(52)

𝑊

𝑖,𝑡 15

16

17

(53)
(54)
(55)
(56)
(57)
(58)
(59)
(60)
(61)
(62)
(63)
(64)
(65)

(66)
(67)
(68)

Referanser

Last ned nå ( PDF - 68 sider - 12.03 MB )

RELATERTE DOKUMENTER

Does it pay to be active? Norwegian mutual fund performance from 1991 to 2019

The majority of studies find that, on average, most investors are better off with the benchmark return than active fund returns, primarily due to the fees and costs

Does it pay to be active? Norwegian mutual fund performance from 1991 to 2019

Note: The code is based on the Matlab code published by Whang (2019) as discussed in Appendix G of

U.S. Mutual Fund Performance in Recessions and Expansions, 1977 to 2019.

statistically significantly outperform the benchmark on a significance level of 5 percent during recession is 38 for the 4-factor model, with an economically significant

Scale Effects in Mutual Fund Performance: A Study of the Norwegian Market

“Is the correlation between family fund size and performance of Norwegian mutual funds investing in small-cap stocks statistically significantly different from zero at

Scale Effects in Mutual Fund Performance: A Study of the Norwegian Market

In order to evaluate whether size has an impact on performance, we will construct from our sample three groups based on size (small-, medium-, and large- cap), and analyze

Market timing ability of Norwegian mutual fund investors

Our results also provide evidence that investors who use monthly fund schemes or passively invest in mutual funds enjoy an annual performance boost, while investors who

Norwegian mutual fund performance based on Fama and French´s five-factor model

He analyzes mutual fund performance and persistence based on Fama French 3-factor model on all Norwegian equity funds listed on the Oslo Stock Exchange in the period

Survivorship Bias in the Norwegian Mutual Fund Market: Impact, Causes and Methodical Differences

However, we have contacted VFF (The Norwegian Fund and Asset Management Association) and Lars Sørensen, the author of Mutual Fund Performance on Oslo Stock Exchange, who