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» Resultado: 2 registros
| Registro 1 de 2 | |
| Autor: | Brennan, Michael-J - Chordia, Tarun - Subrahmanyam, Avanidhar - |
| Título: | Alternative Factor Specifications, Security Characteristics, and the Cross-Section of Expected Stock Returns |
| Fuente: | Journal of Financial Economics. v.49, n.3. Elsevier Science |
| Páginas: | pp. 345-73 |
| Año: | Sept. 1998 |
| Resumen: | The authors examine the relation between stock returns, measures of risk, and several nonrisk security characteristics, including the book-to-market ratio, firm size, the stock price, the dividend yield, and lagged returns. Their primary objective is to determine whether nonrisk characteristics have marginal explanatory power relative to the arbitrage pricing theory benchmark, with factors determined using, in turn, the Connor and Korajczyk (1988) and the Fama and French (1993) approaches. Fama-MacBeth-type regressions using risk adjusted returns provide evidence of return momentum, size, and book-to-market effects, together with a significant and negative relation between returns and trading volume, even after accounting for the CK factors. When the analysis is repeated using the FF factors, the authors find that the size and book-to-market effects are attenuated, while the momentum and trading volume effects persist. In addition, Nasdaq stocks show significant underperformance after adjusting for risk using either method. |
| Solicitar por: | HEMEROTECA J + datos de Fuente |
| Registro 2 de 2 | |
| Autor: | Chordia, Tarun - |
| Título: | The Structure of Mutual Fund Charges |
| Fuente: | Journal of Financial Economics. v.41, n.1. Elsevier Science |
| Páginas: | pp. 3-39 |
| Año: | May 1996 |
| Resumen: | This paper provides an explanation for the diversity in investment strategies and fees of open-end mutual funds. Mutual funds seek to dissuade redemptions through front- and back-end load fees. The empirical evidence is consistent with model predictions that such fees dissuade redemptions in open-end funds and that funds hold more cash when there is uncertainty about redemptions. Furthermore, funds with load and redemption fees hold less cash that their no-load counterparts. The results suggest that aggressive funds are sensitive to cash flows and are likely to rely on fees to dissuade redemptions. |
| Solicitar por: | HEMEROTECA J + datos de Fuente |
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