Performance and characteristics of Swedish mutual funds

被引：87

作者：

Dahlquist, M ^{[1
]}

Engström, S ^{[1
]}

Söderlind, P ^{[1
]}

机构：

[1] Stockholm Sch Econ, SE-11383 Stockholm, Sweden

来源：

JOURNAL OF FINANCIAL AND QUANTITATIVE ANALYSIS | 2000年 / 35卷 / 03期

关键词：

D O I：

10.2307/2676211

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

This paper studies the relation between fund performance and fund attributes in the: Swedish market. Performance is measured as the alpha in a linear regression of fund returns on several benchmark assets, allowing for time-varying betas. The estimated performance is then used in a cross-sectional analysis of the relation between performance and fund attributes such as past performance, flows, size, turnover, and proxies for expenses and trading activity. The results show that good performance occurs among small equity funds, low fee funds, funds whose trading activity is high and, in some cases, funds with good past performance.

引用

页码：409 / 423

页数：15

共 28 条

[1] SURVIVORSHIP BIAS IN PERFORMANCE STUDIES [J].