Liquidity, Liquidity Risk and the Cross Section of Mutual Fund Returns

2011 ◽  
Author(s):  
Andrew A Lynch
Keyword(s):  
Cross Section ◽  
Mutual Fund ◽  
Liquidity Risk ◽  
The Cross

Luck versus Skill in the Cross-Section of Mutual Fund Returns

CFA Digest ◽  
2011 ◽  
Vol 41 (1) ◽  
pp. 57-59 ◽  
Author(s):  
Claire Emory
Keyword(s):  
Cross Section ◽  
Mutual Fund ◽  
The Cross

scholarly journals A reappraisal of luck versus skill in the cross-section of mutual fund returns

2020 ◽  
Vol 176 ◽  
pp. 166-187
Author(s):  
Rong Huang ◽  
Dimitrios Asteriou ◽  
William Pouliot
Keyword(s):  
Cross Section ◽  
Mutual Fund ◽  
The Cross

scholarly journals The cross-section of mutual fund fee dispersion

2012 ◽  
Vol 36 (3) ◽  
pp. 846-856 ◽  
Author(s):  
Giuliano Iannotta ◽  
Marco Navone
Keyword(s):  
Cross Section ◽  
Mutual Fund ◽  
The Cross

Luck versus Skill in the Cross-Section of Mutual Fund Returns

2010 ◽  
Vol 65 (5) ◽  
pp. 1915-1947 ◽  
Author(s):  
EUGENE F. FAMA ◽  
KENNETH R. FRENCH
Keyword(s):  
Cross Section ◽  
Mutual Fund ◽  
The Cross

scholarly journals Tail Risk and the Cross-Section of Mutual Fund Expected Returns

2018 ◽  
Vol 54 (1) ◽  
pp. 425-447 ◽  
Author(s):  
Nikolaos Karagiannis ◽  
Konstantinos Tolikas
Keyword(s):  
Risk Factors ◽  
Cross Section ◽  
Risk Premium ◽  
Mutual Fund ◽  
Market Risk ◽  
Expected Returns ◽  
Adequate Explanation ◽  
Tail Risk ◽  
Management Fees ◽  
The Cross

We test for the presence of a tail risk premium in the cross-section of mutual fund returns and find that the top tail risk quintile of funds outperforms the bottom by 4.4% per annum. This premium is not simply a reward for market risk, nor do commonly used risk factors offer an adequate explanation. Our findings hold across double-sorted portfolios formed on tail risk and a number of fund characteristics. We also find that funds susceptible to tail risk tend to be small, young, have high management fees, and have managers who do not risk their own capital.

Sign in / Sign up

Export Citation Format

Share Document