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A study of idiosyncratic volatility ...

Phan, Trang.

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A study of idiosyncratic volatility in mutual fund performance.

Record Type:	Language materials, printed : Monograph/item
Title/Author:	A study of idiosyncratic volatility in mutual fund performance./
Author:	Phan, Trang.
Description:	95 p.
Notes:	Source: Dissertation Abstracts International, Volume: 76-01(E), Section: A.
Contained By:	Dissertation Abstracts International76-01A(E).
Subject:	Economics, Finance. -
Online resource:	http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=3582946
ISBN:	9781321240276

A study of idiosyncratic volatility in mutual fund performance.
Phan, Trang.

A study of idiosyncratic volatility in mutual fund performance. - 95 p.

Source: Dissertation Abstracts International, Volume: 76-01(E), Section: A.

Thesis (Ph.D.)--University of Hawai'i at Manoa, 2014.

This research examines idiosyncratic volatility in mutual fund performance. It has two chapters.

ISBN: 9781321240276Subjects--Topical Terms:

626650
Economics, Finance.

A study of idiosyncratic volatility in mutual fund performance.
LDR:02396nam a2200301 4500 001 1967060
005 20141112075755.5
008 150210s2014 ||||||||||||||||| ||eng d
020 $a 9781321240276
035 $a (MiAaPQ)AAI3582946
035 $a AAI3582946
040 $a MiAaPQ $c MiAaPQ
100 1 $a Phan, Trang. $3 1679983
245 1 2 $a A study of idiosyncratic volatility in mutual fund performance.
300 $a 95 p.
500 $a Source: Dissertation Abstracts International, Volume: 76-01(E), Section: A.
500 $a Advisers: Wei Victor Huang; David Hunter,.
502 $a Thesis (Ph.D.)--University of Hawai'i at Manoa, 2014.
520 $a This research examines idiosyncratic volatility in mutual fund performance. It has two chapters.
520 $a In the first chapter, we explore how fund managers have historically invested in stocks with different idiosyncratic volatilities and whether the idiosyncratic volatility of assets in a mutual fund portfolio is correlated with the funds performance. We find that mutual funds underweight stocks with the highest and lowest idiosyncratic volatilities; on average, loadings on high idiosyncratic volatility stocks tend to lower fund performance; and there is no evidence that actively managed funds exploit and profit from the negative relationship between idiosyncratic volatility and stock returns reported in prior studies.
520 $a In the second chapter, we present "Residual Correlation" as a unifying measure of mutual fund active management. By decomposing portfolio idiosyncratic volatility into variance and covariance terms, we construct our "Residual Correlation" measure. We propose that skillful fund managers will anticipate positive unsystematic return events. By exposing their portfolios to those events, their portfolios will show correlated returns that are independent of common risk factors. Therefore, active management should be revealed through these correlated asset returns. We show that our measure can identify active management as precisely as various other measures of active management and that it also does so among groups of funds where other measures cannot.
590 $a School code: 0085.
650 4 $a Economics, Finance. $3 626650
650 4 $a Business Administration, Management. $3 626628
690 $a 0508
690 $a 0454
710 2 $a University of Hawai'i at Manoa. $3 1017511
773 0 $t Dissertation Abstracts International $g 76-01A(E).
790 $a 0085
791 $a Ph.D.
792 $a 2014
793 $a English
856 4 0 $u http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=3582946