A new family of equity style indices and mutual fund performance: Do liquidity and idiosyncratic risk matter?
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DOI: 10.1016/j.jempfin.2012.12.005
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- Javier Vidal-García & Marta Vidal & Duc Khuong Nguyen, 2016. "Do liquidity and idiosyncratic risk matter? Evidence from the European mutual fund market," Review of Quantitative Finance and Accounting, Springer, vol. 47(2), pages 213-247, August.
- Mason, Andrew & Agyei-Ampomah, Sam & Skinner, Frank, 2016. "Realism, skill, and incentives: Current and future trends in investment management and investment performance," International Review of Financial Analysis, Elsevier, vol. 43(C), pages 31-40.
- Bredin, Don & Cuthbertson, Keith & Nitzsche, Dirk & Thomas, Dylan C., 2014. "Performance and performance persistence of UK closed-end equity funds," International Review of Financial Analysis, Elsevier, vol. 34(C), pages 189-199.
- Moinak Maiti, 2019. "Is idiosyncratic risk ignored in asset pricing: Sri Lankan evidence?," Future Business Journal, Springer, vol. 5(1), pages 1-12, December.
- Parida, Sitikantha & Teo, Terence, 2018. "The impact of more frequent portfolio disclosure on mutual fund performance," Journal of Banking & Finance, Elsevier, vol. 87(C), pages 427-445.
- Shahrin Saaid Shaharuddin & Wee-Yeap Lau & Rubi Ahmad, 2017. "New Islamic equity style indices: Constructing and testing the efficacy of information transmission," Cogent Economics & Finance, Taylor & Francis Journals, vol. 5(1), pages 1363355-136, January.
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More about this item
Keywords
Asset pricing anomalies; Risk factors; Mutual fund performance; Value and growth; Idiosyncratic risk; Liquidity;All these keywords.
JEL classification:
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
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