The relationship between risk-adjusted performance of actively managed mutual funds investing in European equities and macroeconomic fear factors

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dc.contributor Aalto University en
dc.contributor Aalto-yliopisto fi
dc.contributor.advisor Nyberg, Peter
dc.contributor.author Turtiainen, Juuso
dc.date.accessioned 2017-03-15T14:31:54Z
dc.date.available 2017-03-15T14:31:54Z
dc.date.issued 2017
dc.identifier.uri https://aaltodoc.aalto.fi/handle/123456789/24796
dc.description.abstract I find a significant relationship between a current level of some well-known macroeconomic fear factors which measure the prevailing economic or investor sentiment and subsequent equity mutual fund performance and stock market returns in European markets. When the level of macroeconomic fear in the beginning of a three or five-year measurement period is relatively high, the future stock market returns and mutual fund performance is expected to be relatively higher as well and vice versa. However, the results depend on a given macroeconomic fear factor, serial correlation adjustment procedure, time period and a risk-adjustment method with respect to mutual fund performance. This finding supports and complements previous results regarding the time-varying nature of mutual fund alpha presented for example by Kosowski (2011). This study also contributes to understanding how the new multi-factor composite sentiment indexes developed by Baker and Wurgler (2006) and Huang, Jiang, Tu and Zhou (2015) are linked to future equity mutual fund performance in Europe. en
dc.format.extent 84
dc.format.mimetype application/pdf en
dc.language.iso en en
dc.title The relationship between risk-adjusted performance of actively managed mutual funds investing in European equities and macroeconomic fear factors en
dc.type G2 Pro gradu, diplomityö fi
dc.contributor.school Kauppakorkeakoulu fi
dc.contributor.school School of Business en
dc.contributor.department Rahoituksen laitos fi
dc.subject.keyword osakerahastot en
dc.subject.keyword riskikorjattu en
dc.subject.keyword tuotto en
dc.subject.keyword pelko en
dc.subject.keyword epävarmuus en
dc.identifier.urn URN:NBN:fi:aalto-201703152913
dc.type.ontasot Master's thesis en
dc.type.ontasot Maisterin opinnäyte fi
dc.programme Finance en
dc.subject.helecon rahoitus fi
dc.subject.helecon sijoitusrahastot fi
dc.subject.helecon sijoitukset fi
dc.subject.helecon tuotto fi
dc.subject.helecon riskienhallinta fi
dc.subject.helecon epävarmuus fi
dc.ethesisid 14906
dc.location P1 I fi


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