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Recursos bibliográficos en papel y digitales -
- libros, artículos de revistas,
ponencias de eventos, etc. -
» Resultado: 2 registros
| Registro 1 de 2 | |
| Autor: | Grinblatt, Mark - Jegadeesh, Narasimhan - |
| Título: | Relative Pricing of Eurodollar Features and Forward Contracts |
| Fuente: | Journal of Finance. v.51, n.4. American Finance Association |
| Páginas: | pp. 1499-1522 |
| Año: | Sept. 1996 |
| Resumen: | Past research explains observed spreads between futures and forward Eurodollar yields as being due to the futures contract’s mark-to-market feature. The authors derive closed-form solutions for this yield spread and show that, theoretically, it should be small. Also, differences in liquidity, taxation, and default risk cannot account for the large spreads observed. The authors also present evidence that the spreads, which are nonneglible primarily in the first half of the sample period, are likely to be attributable to the mispricing of futures contracts relative to the forward rates and that the mispricing was gradually eliminated over time. |
| Solicitar por: | HEMEROTECA J + datos de Fuente |
| Registro 2 de 2 | |
| Autor: | Grinblatt, Mark - Titman, Sheridan - Wermers, Russ - |
| Título: | Momentum Investment Strategies, Portfolio Performance, and Herding: A Study of Mutual Fund Behavior |
| Fuente: | American Economic Review. v.85, n.5. American Economic Association |
| Páginas: | pp. 1088-1105 |
| Año: | Dec. 1995 |
| Resumen: | This study analyzes the extent to which mutual funds purchase stocks based on their past returns as well as their tendency to exhibit ’herding’ behavior (i.e., buying and selling the same stocks at the same time). The authors find that 77 percent of the mutual funds were ’momentum investors,’ buying stocks that were past winners; however, most did not systematically sell past losers. On average, funds that invested on momentum realized significantly better performance than other funds. The authors also find relatively weak evidence that funds tended to buy and sell the same stocks at the same time. |
| Solicitar por: | HEMEROTECA A + datos de Fuente |
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