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Evaluation of performance and conditional information: the case of Spanish mutual funds

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  • Luis Ferruz Agudo
  • Maria Vargas Magallon
  • Jose Sarto
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    Abstract

    The performance of Spanish domestic equities improves considerably when diverse public information variables are taken into consideration. We have taken up to eight independent variables into consideration to evaluate the performance of a largely unexplored market over a broad horizon.

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    File URL: http://www.tandfonline.com/doi/abs/10.1080/09603100500397245
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    Bibliographic Info

    Article provided by Taylor & Francis Journals in its journal Applied Financial Economics.

    Volume (Year): 16 (2006)
    Issue (Month): 11 ()
    Pages: 803-817

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    Handle: RePEc:taf:apfiec:v:16:y:2006:i:11:p:803-817

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    Web page: http://www.tandfonline.com/RAFE20

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    1. George Matysiak & Gerald Brown, 1997. "A time-varying analysis of abnormal performance of UK property companies," Applied Financial Economics, Taylor & Francis Journals, vol. 7(4), pages 367-377.
    2. Wayne E. Ferson, 2003. "Tests of Multifactor Pricing Models, Volatility Bounds and Portfolio Performance," NBER Working Papers 9441, National Bureau of Economic Research, Inc.
    3. Ferson, Wayne E & Korajczyk, Robert A, 1995. "Do Arbitrage Pricing Models Explain the Predictability of Stock Returns?," The Journal of Business, University of Chicago Press, vol. 68(3), pages 309-49, July.
    4. William N. Goetzmann & Stephen J. Brown, 2005. "Performance Persistence," Yale School of Management Working Papers ysm451, Yale School of Management.
    5. Mark Grinblatt & Sheridan Titman, . "Mutual Fund Performance: An Analysis of Quarterly Portfolio Holdings," Rodney L. White Center for Financial Research Working Papers 23-88, Wharton School Rodney L. White Center for Financial Research.
    6. Ravi Jagannathan & Zhenyu Wang, 1996. "The conditional CAPM and the cross-section of expected returns," Staff Report 208, Federal Reserve Bank of Minneapolis.
    7. Rogér Otten & Dennis Bams, 2004. "How to measure mutual fund performance: economic versus statistical relevance," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 44(2), pages 203-222.
    8. Begona Basarrate & Gonzalo Rubio, 1999. "Nonsimultaneous prices and the evaluation of managed portfolios in Spain," Applied Financial Economics, Taylor & Francis Journals, vol. 9(3), pages 273-281.
    9. Brown, Stephen J, et al, 1992. "Survivorship Bias in Performance Studies," Review of Financial Studies, Society for Financial Studies, vol. 5(4), pages 553-80.
    10. Breen, William & Glosten, Lawrence R & Jagannathan, Ravi, 1989. " Economic Significance of Predictable Variations in Stock Index Returns," Journal of Finance, American Finance Association, vol. 44(5), pages 1177-89, December.
    11. Grinblatt, Mark & Titman, Sheridan, 1994. "A Study of Monthly Mutual Fund Returns and Performance Evaluation Techniques," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 29(03), pages 419-444, September.
    12. Matthew Spiegel & Harry Mamaysky & Hong Zhang, 2005. "Estimating the Dynamics of Mutual Fund Alphas and Betas," Yale School of Management Working Papers ysm353, Yale School of Management, revised 01 Apr 2005.
    13. Grinblatt, Mark & Titman, Sheridan, 1993. "Performance Measurement without Benchmarks: An Examination of Mutual Fund Returns," The Journal of Business, University of Chicago Press, vol. 66(1), pages 47-68, January.
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    Cited by:
    1. Laura Andreu & Laurens Swinkels, 2012. "Performance evaluation of balanced pension plans," Quantitative Finance, Taylor & Francis Journals, vol. 12(5), pages 819-830, March.
    2. Ferruz Agudo, Luis & Vargas Magallón, María & Nievas López, J., 2008. "¿Utilizan los gestores españoles de fondos de inversión información privada en sus labores de gestión?," Estudios de Economía Aplicada, Estudios de Economía Aplicada, vol. 26, pages 257-278, Septiembr.

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