University of Illinois Urbana-Champaign

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

Karceski, Jaosn Jospeh

This item is only available for download by members of the University of Illinois community. Students, faculty, and staff at the U of I may log in with your NetID and password to view the item. If you are trying to access an Illinois-restricted dissertation or thesis, you can request a copy through your library's Inter-Library Loan office or purchase a copy directly from ProQuest.

Permalink

https://hdl.handle.net/2142/87444

Description

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
Issue Date
1997
Doctoral Committee Chair(s)
Pennacchi, George G.
Department of Study
Finance
Discipline
Finance
Degree Granting Institution
University of Illinois at Urbana-Champaign
Degree Name
Ph.D.
Degree Level
Dissertation
Keyword(s)
Economics, Theory
Language
eng
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."
Graduation Semester
1997
Type of Resource
text
Permalink
http://hdl.handle.net/2142/87444

Owning Collections

Graduate Dissertations and Theses at Illinois PRIMARY
Graduate Theses and Dissertations at Illinois
Dissertations and Theses - Finance