ABSTRAKPerbedaan Reksadana syariah dan konvensional yaitu adanya tahap screening and cleansing serta tidak diperbolehkanya berinvestasi kedalam efek yang sesuai syariat Islam diduga memiliki dampak terhadap merespon perubahan variabel makroekonomi ada. Penelitian ini bertujuan untuk menganalis pengaruh suku bunga, nilai tukar, indeks harga saham gabungan, jumlah uang beredar produk domestik bru...

Increased concern for the environment has increased the number of investment opportunities in mutual funds specialized in promoting responsible environmental attitudes. This paper examines the performance and risk sensitivities of US green mutual funds vis-à-vis their conventional peers. We also analyze and compare this performance relative to other Socially Responsible Investing (SRI) mutual f...

IE. Kandel, D. Hunter, and R. Wermers dedicate this paper to the memory of our valued friend and colleague, Shmuel Kandel, who inspired us and contributed mightily to this project. Corresponding author: R. Wermers, [email protected] (email), 301-405-0572 (tel), 301-405-0359 (fax). We gratefully acknowledge useful comments from an anonymous referee, and suggestions from the participants of the Ger...

The purpose of this study is to review emerging capital market institutions that are considered as ‘collective investment undertakings’ under Turkish Capital Market Law: Mutual funds, pension real estate funds and venture funds. In paper, data retrieved from official website Board. With ‘VAR’ ‘Johansen Co-Integration analysis’ with ‘Vector-Error-Correction Model’, the impact FX rates on net ass...

Defined contribution plans, predominantly 401(k)s, are the primary source of personal retirement savings for American workers, making the investment decisions within these accounts a salient policy concern. These decisions are a result of two separate actions: the mutual fund options selected by the employer’s plan administrator and the specific funds chosen by the participant. While considerab...

The assets of superannuation funds have increased rapidly in the 1990s. Along with managed funds more generally, this growth has been considerably faster than the growth of assets of financial intermediaries. In large part, the rapid growth is attributable to the high earnings rates of superannuation funds. While r ising fund inflows have also contributed to growth, they have been partly offset...

This paper evaluates the welfare implications of front-running by mutual fund managers. It extends the model of Kyle (1985) to a situation in which the insider with fundamentals-information competes against an insider with trade-information and in which noise trading is endogenized. Noise traders are small investors trading through mutual funds to hedge non-tradable or illiquid assets. The insi...

T HE national survey of the resources of aged beneficiaries made by the Bureau of Old-Age and Survivors Insurance in 1951 included a study of their assets1 At the end of that year, it was found, threefourths of the aged beneficiaries included in the survey owned assets. Three-fifths held liquid assets, and half had nonliquid assets. Almost two-fifths reported both liquid and nonliquid assets. T...

This paper tackles the problem of the presence of negative average rates of returns in the evaluation of the performance of mutual funds using a DEA approach. We present some extensions of DEA models for the evaluation of the performance of mutual funds that enable to compute the performance measure also in the presence of negative rates of returns. These extensions regard a model that can be u...

ince the early 1990s, hedge funds have become an increasingly popular asset class. The amount invested globally in hedge funds rose from approximately $50 billion in 1990 to approximately $1 trillion by the end of 2004.1 And because these funds characteristically use substantial leverage, they play a far more important role in the global securities markets than the size of their net assets indi...