Η σχέση μεταξύ απόδοσης αμοιβαίων κεφαλαίων και ανάληψης κινδύνου
View/Open
Keywords
Υπόθεση τουρνουά ; Κινήσεις καλλωπισμού ; Αθροιστική απόδοση ; Τυπική απόκλιση ; Αμοιβαία κεφάλαιαAbstract
The purpose of this thesis is to examine the relationship between the performance of the mutual funds in United Kingdom and their risk-taking attitudes. Our findings suggest positive relationship between the mutual fund performance in the first half of the year and their portfolio risk in the second half of the year in bear markets, while in bull markets we found negative relationship, when we are using the standard deviation as a risk measure. Also, we found no evidence that window dressing behavior has no impact in our results. When we are using beta coefficient as a risk measure, we still find positive relationship between the mutual funds’ performance in the first half of the year and their portfolio risk in the second half of the year in bear markets, but we found no statistically significant relationship in bull markets. The difference between these results (i.e. when we use the standard deviation as a risk measure and the beta coefficient, in bull markets) might be due to the different benchmarks according to which mutual funds report their results. Moreover, we examined the performance between the mutual funds that belong in the high SDRAR category and those who belong in the low SDRAR category. Our results indicate that mid-year losers which belong in the low SDRAR category outperform the mutual funds that belong in the high SDRAR category in bear markets, meanwhile in bull markets mid-year losers who belong in the high SDRAR category tend to outperform the mutual funds that belong in the low SDRAR category. Vis-à-vis the mid-year winners, we found no statistically significant relationship between the mutual funds that belong in the high SDRAR category and those that belong in the low SDRAR category, neither in bear nor in bull markets. Finally, we used the regression method to examine the relationship between the mutual funds’ performance and their risk-taking attitudes. Our results indicate that there is no statistically significant relationship between the two variables.
Postgraduate Studies Programme
Χρηματοοικονομική και Τραπεζική με κατεύθυνση στην Χρηματοοικονομική και Τραπεζική ΔιοικητικήDepartment
Σχολή Χρηματοοικονομικής και Στατιστικής. Τμήμα Χρηματοοικονομικής και Τραπεζικής ΔιοικητικήςNumber of pages
56Language
Greek
Except where otherwise noted, this item's license is described as
Attribution-NonCommercial-NoDerivatives 4.0 Διεθνές
Attribution-NonCommercial-NoDerivatives 4.0 Διεθνές