Behavioral aspects of investment fund's markets: are good managers lucky or skilled?

It is generally accepted that financial markets are efficient in the long run a lthough there may be some deviations in the short run. It is also accepted that a good portfolio manager is the one who beats the market persistently along time, this type of manager could not exist if markets were perfectly efficient According to this in a pure efficient market we should find that managers know that they can not beat the market so they would undertake only pure passive management strategies. Assuming a certain degree of inefficiency in the short run, a market may show some managers who tr y to beat the market by undertaking active strategies. From Fama’s efficient markets theory we can state that these active managers may beat the market occasionally although they will not be able to enhance significantly their performance in the long run. On the other hand, in an inefficient market it would be expected to find a higher level of activity related with the higher probability of beating the market. In this paper we follow two objectives: first, we set a basis to analyse the level of efficiency in an asset invest- ment funds market by measuring performance, strategies activity and it’s persistence for a certain group of funds during the period of study. Second, we analyse individual performance persistence in order to determine the existence of skilled managers. The CAPM model is taken as theoretical background and the use of the Sharpe’s ratio as a suitable performance measure in a limited information environment leads to a group performance measurement proposal. The empiri- cal study takes quarterly data from 1999-2007 period, for the whole population of the Spanish asset investment funds market, provided by the CNMV (Comisión Nacional del Mercado de Valores). This period of study has been chosen to ensure a wide enough range of efficient market observation so it would allow us to set a proper basis to compare with the following period. As a result we develop a model that allows us to measure efficiency in a given asset mutual funds market, based on the level of strategy’s activity undertaken by managers. We also observe persistence in individual performance for a certain group of funds

2003 Annual Report of the Superintendent of Banking, June 30, 2003

Annual report for Iowa Division of Banking.

A-1 Monthly Public Assistance Statistical Report Family Investment Program, December 2003

Monthly Public Assistance Statistical Report Family Investment Program

A-1 Monthly Public Assistance Statistical Report Family Investment Program, January 2004

Monthly Public Assistance Statistical Report Family Investment Program

A-1 Monthly Public Assistance Statistical Report Family Investment Program, February 2004

Monthly Public Assistance Statistical Report Family Investment Program

Essays in banking and corporate finance

Abstract This paper presents a model of executive compensation in which the executive is risk-averse and has specific knowledge -knowledge about the optimal actions to take that is costly to transfer to the principal. The model generates predictions that are consistent with the available evidence and provides a rationale for a number of unresolved puzzles in executive compensation. Notably, we find that relative performance evaluation is optimal only if the quality of specific knowledge is low. We also show (1) why some common risk components are not filtered out of executives' pay, (2) why performance is more likely to be evaluated relative to aggregate market movements than relative to industry movements, and (3) why executives with higher perceived abilities are given stronger incentives. Finally, we demonstrate that the relation between risk and incentives may be positive or negative, depending on the quality of the executive's specific knowledge.

A-1 Monthly Public Assistance Statistical Report Family Investment Program, March 2004

Monthly Public Assistance Statistical Report Family Investment Program

A-1 Monthly Public Assistance Statistical Report Family Investment Program, April 2004

Monthly Public Assistance Statistical Report Family Investment Program

A-1 Monthly Public Assistance Statistical Report Family Investment Program, May 2004

Monthly Public Assistance Statistical Report Family Investment Program

A-1 Monthly Public Assistance Statistical Report Family Investment Program, June 2004

Monthly Public Assistance Statistical Report Family Investment Program

A-1 Monthly Public Assistance Statistical Report Family Investment Program, January 2002

Monthly Public Assistance Statistical Report Family Investment Program

A-1 Monthly Public Assistance Statistical Report Family Investment Program, December 2001

Monthly Public Assistance Statistical Report Family Investment Program

A-1 Monthly Public Assistance Statistical Report Family Investment Program, February 2002

Monthly Public Assistance Statistical Report Family Investment Program

A-1 Monthly Public Assistance Statistical Report Family Investment Program, March 2002

Monthly Public Assistance Statistical Report Family Investment Program

A-1 Monthly Public Assistance Statistical Report Family Investment Program, June 2003

Monthly Public Assistance Statistical Report Family Investment Program