Related papers: An Empirical study on Mutual fund factor-risk-shif…

We propose a novel approach for analysis of the composition of an equity mutual fund based on the time series decomposition of the price movements of the individual stocks of the fund. The proposed scheme can be applied to check whether the…

This study examines active liquidity management by Indian open-ended equity mutual funds. We find that fund managers respond to inflows by increasing cash holdings, which are later used to purchase less-liquid stocks at favourable…

The profitability of various investment styles in investment funds depends on macroeconomic conditions. Market ecology, which views financial markets as ecosystems of diverse, interacting and evolving trading strategies, has shown that…

As the Indian economy grows digitally and becomes more financially inclusive, more and more investors have started to invest in the Indian capital markets. The number of retail and institutional folios with Indian mutual fund schemes have…

In this paper we use Clustering Method to understand whether stock market volatility can be predicted at all, and if so, when it can be predicted. The exercise has been performed for the Indian stock market on daily data for two years. For…

In recent years, multi-factor strategies have gained increasing popularity in the financial industry, as they allow investors to have a better understanding of the risk drivers underlying their portfolios. Moreover, such strategies promise…

We examine volatility of an Indian stock market in terms of aspects like participation, synchronization of stocks and quantification of volatility using the random matrix approach. Volatility pattern of the market is found using the BSE…

This paper introduces a novel methodology for index return forecasting, blending highly correlated stock prices, advanced deep learning techniques, and intricate factor integration. Departing from conventional cap-weighted approaches, our…

Estimating the covariance of asset returns, i.e., the risk model, is a key component of financial portfolio construction and evaluation. Most risk modeling approaches produce a factor model that decomposes the asset variability into two…

We introduce an Indian-buffet-type model for multi-factorial innovation in which each arriving agent may exhibit both previously observed and new features. The number of new features follows a power-law behavior, while the probability of…

Is the large influence that mutual funds assert on the U.S. financial system spread across many funds, or is it is concentrated in only a few? We argue that the dominant economic factor that determines this is market efficiency, which…

This study utilised the dynamics of five time-varying models to estimate six essential features of financial return volatility that are relevant for robust risk management. These features include pronounced persistence, mean reversion,…

The domain of hedge fund investments is undergoing significant transformation, influenced by the rapid expansion of data availability and the advancement of analytical technologies. This study explores the enhancement of hedge fund…

In quantitative investing, return prediction supports various tasks, including stock selection, portfolio optimization, and risk management. Quantitative factors, such as valuation, quality, and growth, capture various characteristics of…

Income and risk coexist, yet investors are often so focused on chasing high returns that they overlook the potential risks that can lead to high losses. Therefore, risk forecasting and risk control is the cornerstone of investment. To…

This thesis applies entropy as a model independent measure to address three research questions concerning financial time series. In the first study we apply transfer entropy to drawdowns and drawups in foreign exchange rates, to study their…

In this article, we propose a factor-adjusted multiple testing (FAT) procedure based on factor-adjusted p-values in a linear factor model involving some observable and unobservable factors, for the purpose of selecting skilled funds in…

This study examines how housing sector volatilities affect real estate investment trust (REIT) equity return in the United States. I argue that unexpected changes in housing variables can be a source of aggregate housing risk, and the first…

This study attempts to investigate into the structure and features of global equity markets from a time-frequency perspective. An analysis grounded on this framework allows one to capture information from a different dimension, as opposed…

Inference over tails is usually performed by fitting an appropriate limiting distribution over observations that exceed a fixed threshold. However, the choice of such threshold is critical and can affect the inferential results. Extreme…