Seasonality and idiosyncratic risk in mutual fund performance

DOI10.1016/J.EJOR.2013.09.011zbMath1341.62309OpenAlexW3125369386MaRDI QIDQ297003

Javier Vidal-García, Marta Vidal

Publication date: 24 June 2016

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.ejor.2013.09.011

zbMATH Keywords

seasonalityidiosyncratic riskmutual fund performancetax-loss selling

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05)

Related Items (2)

Operational risk: emerging markets, sectors and measurement ⋮ The Impact of Fundamental Investment Fund Features on the Level of Risk

Cites Work

• An experimental examination of the house money effect in a multi-period setting
• Volatility and Links between National Stock Markets
• An Intertemporal Capital Asset Pricing Model
• Common risk factors in the returns on stocks and bonds

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