Seeking Alpha: Which Asset Pricing Models Matter to Investors? Empirical Evidence from European Mutual Fund Flows

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dc.contributor Aalto University en
dc.contributor Aalto-yliopisto fi
dc.contributor.advisor Spickers, Theresa
dc.contributor.author Pettinen, Jani
dc.date.accessioned 2019-02-17T17:05:52Z
dc.date.available 2019-02-17T17:05:52Z
dc.date.issued 2018
dc.identifier.uri https://aaltodoc.aalto.fi/handle/123456789/36517
dc.description.abstract This paper investigates the relationship between fund flows and various performance measures using two differing approaches. I find that investors prefer the simple market-adjusted returns and the Capital Asset Pricing Model when the assessment period is short but shift towards using more advanced models when longer assessment horizons are considered. On aggregate, appears that investors prefer to use 3-year assessment horizon when evaluating fund performance. While all of the examined performance measures contribute positively and significantly to the fund flows, they explain, at the most, only two thirds of the fund flows. Thus, substantial amount of flows remains unexplained. Furthermore, when I investigate the period before and after the financial-crisis, appears that investors have recently adopted the use of a more complicated performance measures, i.e. use of the multifactor models. In contrast, I find no supporting evidence on a hypothesis that more sophisticated investors would prefer more advanced performance measures. en
dc.format.extent 30
dc.format.mimetype application/pdf en
dc.language.iso en en
dc.title Seeking Alpha: Which Asset Pricing Models Matter to Investors? Empirical Evidence from European Mutual Fund Flows en
dc.type G1 Kandidaatintyö fi
dc.contributor.school Kauppakorkeakoulu fi
dc.contributor.school School of Business en
dc.contributor.department Rahoituksen laitos fi
dc.subject.keyword mutual fund en
dc.subject.keyword fund flow en
dc.subject.keyword asset pricing model en
dc.subject.keyword performance en
dc.subject.keyword Alpha en
dc.identifier.urn URN:NBN:fi:aalto-201902171679
dc.type.ontasot Bachelor's thesis en
dc.type.ontasot Kandidaatintyö fi
dc.programme Rahoitus en
dc.subject.helecon funds


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