Systematic liquidity shocks should affect the optimal behavior of agents in financial markets.
Indeed, fluctuations in various measures of liquidity are significantly correlated across …

Publisher Summary The Arbitrage Pricing Theory (APT) of Ross, and extensions of that
theory, constitute an important branch of asset pricing theory and one of the primary …

This paper studies the performance of 60 European funds from four countries. The paper
extends the UK matched pair approach for fund evaluation developed by Mallin et al.(1995) …

This paper concentrates on the financial analysis of investment performance taking Sharpe's
ratio as a basic point of reference, as well as giving further consideration to the use of this …

The main purpose of this study is to construct an illiquidity risk factor for the Spanish stock
market over the 1994–2002 period. Because of the absence of consensus in empirical …

Mutual fund performance is normally measured by comparing results of active management
with those obtained by one or several benchmarks that should represent the fund's …

Este trabajo consiste en la contrastación empírica de cinco de los modelos de factores más
representativos en materia de valoración: el CAPM estándar, el modelo de tres factores de …

Using Spanish stock market data running from January 1982 to December 1998, this paper
examines competing models of price formation in security markets on the basis of the …

El presente artículo estudia la persistencia de los resultados de los fondos de inversión
españoles para el período 1992 a 1999. Los resultados obtenidos informan de la existencia …

This work analyses the empirical consequences for the evaluation of managed portfolios of
employing nonsimultaneous prices for the calculation of net asset values and benchmarks …