Ekonomická a finančná matematika http://www.iam.fmph.uniba.sk/studium/efm/forum/ |
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Bratislava Economic Seminar 27.4.2015 http://www.iam.fmph.uniba.sk/studium/efm/forum/viewtopic.php?f=30&t=708 |
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Autor: | chladna [ Str Apr 22, 2015 11:47 am ] | ||
Predmet príspevku: | Bratislava Economic Seminar 27.4.2015 | ||
Vážení kolegovia, pozývame Vás na Bratislava Economic Seminar, ktorý je spoločným projektom CEF FMFI UK, Národnej banky Slovenska a Katedry hospodárskej politky Národohospodárskej fakulty EUBA. Oznámenie o podujatí je v prílohe. Seminár sa uskutoční uskutoční v pondelok 27. apríla 2015 o 16:00 v posluchárni C, na Fakulte matematiky, fyziky a informatiky UK, Mlynská dolina, Bratislava a jeho náplňou bude prednáška: Ľuboš Pástor Scale and Skill in Active Management Abstract: We empirically analyze the nature of returns to scale in active mutual fund management. We find strong evidence of decreasing returns at the industry level: As the size of the active mutual fund industry increases, a fund's ability to outperform passive benchmarks declines. At the fund level, all methods considered indicate decreasing returns, though estimates that avoid econometric biases are insignificant. We also find that the active management industry has become more skilled over time. This upward trend in skill coincides with industry growth, which precludes the skill improvement from boosting fund performance. Finally, we find that performance deteriorates over a typical fund's lifetime. This result can also be explained by industry-level decreasing returns to scale. http://papers.ssrn.com/sol3/papers.cfm? ... id=2318788 Tešíme sa na Vašu účasť, CEF.
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