Are Style Factors exclusive, exhaustive and independent in Spanish Domestic Equity Funds?/¿Son los factores de estilo exclusivos, exhaustivos e independientes en los fondos de inversión españoles de renta variable macional?
FERRUZ AGUDO, LUIS () (University of Zaragoza, Spain, Faculty of Economics and Business Studies, Department of Accounting and Finance. C/ Gran Vía, 2, 50005 – Zaragoza (Spain).) VICENTE GIMENO, LUIS A. ()
Abstract
This paper is an approach to the management styles followed by Spanish mutual funds investing in domestic equities. The methodology applied is based on Sharpe’s Style Analysis proposed in 1992. Sharpe establishes three conditions for the explanatory factors used in this method if the results are to be meaningful: 1)exclusive benchmarks, 2)exhaustive benchmarks and 3)independent benchmarks The results show that the benchmarks used in the more exhaustive models are not sufficiently independent in the Spanish case to obtain statistically significant management styles. Este trabajo es una aproximación a los estilos de gestión desarrollados por los fondos de inversión españoles en renta variable nacional. La metodología aplicada está basada en el análisis de estilos propuesto por Sharpe en 1992. Sharpe exige tres características a los factores explicativos utilizados en este método con el objeto de que los resultados sean significativos: 1) exclusividad, 2) exhaustividad e 3) independencia. Los resultados muestran que para el caso español, los índices utilizados en los modelos más exhaustivos no son lo suficientemente independientes para obtener estilos de gestión estadísticamente significativos.
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Volume (Year): 23 (2005) Issue (Month): (Agosto) Pages: 495-506 Download reference. The following formats are available: HTML
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Handle: RePEc:lrk:eeaart:23_2_12
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Find related papers by JEL classification: G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions G23 - Financial Economics - - Financial Institutions and Services - - - Pension Funds; Other Private Financial Institutions
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ter Horst, Jenke R. & Nijman, Theo E. & de Roon, Frans A., 2004.
"Evaluating style analysis,"
Journal of Empirical Finance,
Elsevier, vol. 11(1), pages 29-53, January.
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Other versions:
Roon.F.A. de, & Nijman, T.E. & Horst, J.R. ter, 2000.
"Evaluating style analysis,"
Discussion Paper
64, Tilburg University, Center for Economic Research.
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Roon, F.A. de & Nijman, T.E. & Werker, B.J.M., 2000.
"Evaluating Style Analysis,"
Research Paper
ERS-2000-11-F&A Revision_, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus Uni.
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