Dahlquist, Magnus () (Dept. of Finance, Stockholm School of Economics) Engström, Stefan () (Dept. of Finance, Stockholm School of Economics) Söderlind, Paul () (Dept. of Economics, Stockholm School of Economics)
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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, among other things, that good performance is to be found among small equity funds, low-fee funds, funds whose trading activity is high, and in some cases, funds with good past performance.
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Length: 21 pages Date of creation: 28 Feb 1999 Date of revision:
25 Nov 1999 Publication status: Published in Journal of Financial and Quantitative Analysis, 2000, pages 15. Handle: RePEc:hhs:hastef:0312
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Find related papers by JEL classification: G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions G12 - Financial Economics - - General Financial Markets - - - Asset Pricing G23 - Financial Economics - - Financial Institutions and Services - - - Pension Funds; Other Private Financial Institutions
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