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Title:Essay 1. The Risk and Return From Factors. Essay 2. Forecasting Covariances for Portfolio Optimization. Essay 3. An Agency Explanation of the Book-to-Market Effect
Author(s):Karceski, Jaosn Jospeh
Doctoral Committee Chair(s):Pennacchi, George G.
Department / Program:Finance
Discipline:Finance
Degree Granting Institution:University of Illinois at Urbana-Champaign
Degree:Ph.D.
Genre:Dissertation
Subject(s):Economics, Theory
Abstract:The last essay, "An Agency Explanation of the Book-to-Market Effect," presents an equilibrium agency model whereby the presence of the mutual fund industry creates the book-to-market effect. The model relies on four critical assumptions. The first two of these (that active fund managers wish to maximize total expected assets under management and that the cross-sectional flow-performance relation in the mutual fund industry gives rise to a tournament effect regarding subsequent cash flows into mutual funds) are generally accepted as fact. The last two assumptions (that glamour stocks tend to outperform value stocks in up-market periods and that the time-series flow-performance relation in the mutual fund industry is indicative of positive feedback trading on the part of mutual fund investors) are either disputed or less well-known. Consequently, this paper presents empirical evidence supporting these latter assumptions.
Issue Date:1997
Type:Text
Language:English
Description:159 p.
Thesis (Ph.D.)--University of Illinois at Urbana-Champaign, 1997.
URI:http://hdl.handle.net/2142/87444
Other Identifier(s):(MiAaPQ)AAI9737152
Date Available in IDEALS:2015-09-28
Date Deposited:1997


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