¿Utilizan los gestores españoles de fondos de inversión información privada en sus labores de gestión?
With this work we analyse the performance of a group of Spanish investment funds based on the CAPM and on the conditional model proposed by Ferson and Schadt. Prior to the empirical application of this second model, rigorous econometric multicollinearity analyses of the model variables are performed as well as analyses of their order of integration in order to implement non-spurious and adequate regressions. We obtain a higher performance based on the conditional model, which is also better specified, enabling us to confirm, therefore, the use of private information by Spanish funds managers. Mediante este trabajo analizamos la performance de un grupo de fondos de inversión españoles basándonos en el modelo CAPM y en el modelo condicional propuesto por Ferson y Schadt. Antes de la aplicación empírica de este segundo modelo, se han realizado rigurosos análisis econométricos de multicolinealidad de las variables del modelo así como análisis de su orden de integración para llevar a cabo regresiones no espurias y adecuadas. Obtenemos una mejor performance basándonos en el modelo condicional, el cual está además mejor especificado, permitiéndonos confirmar, por consiguiente, el uso de información privada por los gestores de fondos españoles.
If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Volume (Year): 26 (2008)
Issue (Month): (Septiembre)
|Contact details of provider:|| Postal: |
Phone: (34) 983 423320
Fax: (34) 983 184568
Web page: http://www.revista-eea.net
More information through EDIRC
|Order Information:|| Web: http://www.revista-eea.net Email: |
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Lewellen, Jonathan & Nagel, Stefan, 2003.
"The Conditional CAPM Does Not Explain Asset-pricing Anomalies,"
4427-03, Massachusetts Institute of Technology (MIT), Sloan School of Management.
- Lewellen, Jonathan & Nagel, Stefan, 2006. "The conditional CAPM does not explain asset-pricing anomalies," Journal of Financial Economics, Elsevier, vol. 82(2), pages 289-314, November.
- Jonathan Lewellen & Stefan Nagel, 2003. "The Conditional CAPM does not Explain Asset-Pricing Anamolies," NBER Working Papers 9974, National Bureau of Economic Research, Inc.
- Kenbata Bangassa, 2000. "Conditional Performance Evaluation: Empirical Evidence From UK Investment Trusts," Research Papers 2000_21, University of Liverpool Management School.
- 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.
- 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.
- Ferson, Wayne E & Schadt, Rudi W, 1996. " Measuring Fund Strategy and Performance in Changing Economic Conditions," Journal of Finance, American Finance Association, vol. 51(2), pages 425-61, June.
- Christopherson, Jon A & Ferson, Wayne E & Glassman, Debra A, 1998.
"Conditioning Manager Alphas on Economic Information: Another Look at the Persistence of Performance,"
Review of Financial Studies,
Society for Financial Studies, vol. 11(1), pages 111-42.
- Jon A. Christopherson & Wayne E. Ferson & Debra A. Glassman, 1996. "Conditioning Manager Alphas on Economic Information: Another Look at the Persistence of Performance," NBER Working Papers 5830, National Bureau of Economic Research, Inc.
- Grauer, Robert R & Hakansson, Nils H, 2001. " Applying Portfolio Change and Conditional Performance Measures: The Case of Industry Rotation via the Dynamic Investment Model," Review of Quantitative Finance and Accounting, Springer, vol. 17(3), pages 237-65, November.
- Kevin Q. Wang, 2003. "Asset Pricing with Conditioning Information: A New Test," Journal of Finance, American Finance Association, vol. 58(1), pages 161-196, 02.
- Luis Ferruz Agudo & Maria Vargas Magallon & Jose Sarto, 2006. "Evaluation of performance and conditional information: the case of Spanish mutual funds," Applied Financial Economics, Taylor & Francis Journals, vol. 16(11), pages 803-817.
- Bauer, Rob & Koedijk, Kees & Otten, Roger, 2005. "International evidence on ethical mutual fund performance and investment style," Journal of Banking & Finance, Elsevier, vol. 29(7), pages 1751-1767, July.
- Harvey, Campbell R., 2001. "The specification of conditional expectations," Journal of Empirical Finance, Elsevier, vol. 8(5), pages 573-637, December.
- Florinda Silva & Maria do Céu Cortez & Manuel Rocha Armada, 2003. "Conditioning Information and European Bond Fund Performance," European Financial Management, European Financial Management Association, vol. 9(2), pages 201-230.
- Wayne E. Ferson & Andrew F. Siegel & Pisun (Tracy) Xu, 2005. "Mimicking Portfolios with Conditioning Information," NBER Working Papers 11020, National Bureau of Economic Research, Inc.
- Rogér Otten & Dennis Bams, 2007. "The Performance of Local versus Foreign Mutual Fund Managers," European Financial Management, European Financial Management Association, vol. 13(4), pages 702-720.
- Wayne E. Ferson, 2003. "Tests of Multifactor Pricing Models, Volatility Bounds and Portfolio Performance," NBER Working Papers 9441, National Bureau of Economic Research, Inc.
- Fama, Eugene F. & French, Kenneth R., 1993. "Common risk factors in the returns on stocks and bonds," Journal of Financial Economics, Elsevier, vol. 33(1), pages 3-56, February.
- 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.
- Harry Mamaysky & Matthew Spiegel & Hong Zhang, 2008. "Estimating the Dynamics of Mutual Fund Alphas and Betas," Review of Financial Studies, Society for Financial Studies, vol. 21(1), pages 233-264, January.
- Jonathan Fletcher, 2002. "Examination of Conditional Asset Pricing in UK Stock Returns," The Financial Review, Eastern Finance Association, vol. 37(3), pages 447-468, 08.
- Wayne E. Ferson & Andrew F. Siegel, 2006. "Testing Portfolio Efficiency with Conditioning Information," NBER Working Papers 12098, National Bureau of Economic Research, Inc.
- Fama, Eugene F, 1970. "Efficient Capital Markets: A Review of Theory and Empirical Work," Journal of Finance, American Finance Association, vol. 25(2), pages 383-417, May.
- 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.
- Jagannathan, Ravi & Wang, Zhenyu, 1996.
" The Conditional CAPM and the Cross-Section of Expected Returns,"
Journal of Finance,
American Finance Association, vol. 51(1), pages 3-53, March.
- Ravi Jagannathan & Zhenyu Wang, 1996. "The conditional CAPM and the cross-section of expected returns," Staff Report 208, Federal Reserve Bank of Minneapolis.
- Wayne E. Ferson & Campbell R. Harvey, 1999.
"Conditioning Variables and the Cross-Section of Stock Returns,"
NBER Working Papers
7009, National Bureau of Economic Research, Inc.
- Wayne E. Ferson & Campbell R. Harvey, 1999. "Conditioning Variables and the Cross Section of Stock Returns," Journal of Finance, American Finance Association, vol. 54(4), pages 1325-1360, 08.
- Wayne E. Ferson, 2001. "The Efficient Use of Conditioning Information in Portfolios," Journal of Finance, American Finance Association, vol. 56(3), pages 967-982, 06.
- Ferson, Wayne & Khang, Kenneth, 2002. "Conditional performance measurement using portfolio weights: evidence for pension funds," Journal of Financial Economics, Elsevier, vol. 65(2), pages 249-282, August.
- Ferson, Wayne & Siegel, Andrew F. & Xu, Pisun (Tracy), 2006. "Mimicking Portfolios with Conditioning Information," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 41(03), pages 607-635, September.
- Pasaran, M.H. & Im, K.S. & Shin, Y., 1995.
"Testing for Unit Roots in Heterogeneous Panels,"
Cambridge Working Papers in Economics
9526, Faculty of Economics, University of Cambridge.
- Wayne Ferson & Kenneth Khang, 2002. "Conditional Performance Measurement Using Portfolio Weights: Evidence for Pension Funds," NBER Working Papers 8790, National Bureau of Economic Research, Inc.
When requesting a correction, please mention this item's handle: RePEc:lrk:eeaart:26_3_5. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Beatriz Rodríguez Prado)
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.