Just over 20 years have passed since the publication of Mark Carhart's landmark 1997 study
on mutual funds. Its conclusion—that the data did “not support the existence of skilled or …

Abstract The Capital Asset Pricing Model (CAPM) predicts a positive relation between risk
and return, but empirical studies find the actual relation to be flat, or even negative. This …

Using the value that a mutual fund extracts from capital markets as the measure of skill, we
find that the average mutual fund has used this skill to generate about $3.2 million per year …

Behavioral decision research provides many important insights into managerial behavior.
From negotiation to investment decisions, the authors weave behavioral decision research …

We propose a new definition of skill as general cognitive ability to pick stocks or time the
market. We find evidence for stock picking in booms and market timing in recessions …

The aggregate portfolio of actively managed US equity mutual funds is close to the market
portfolio, but the high costs of active management show up intact as lower returns to …

ABSTRACT I compare the fees, expenses, and trading costs society pays to invest in the US
stock market with an estimate of what would be paid if everyone invested passively …

The popularity of passive investing through index mutual funds and exchange-traded funds
(ETFs) has grown substantially over recent years, displacing higher-cost active investment …

We use a new data set to study the determinants of the performance of open–end actively
managed equity mutual funds in 27 countries. We find that mutual funds underperform the …

В учебнике излагается сущность неопределенности и риска, классификация и
факторы, действующие на них; приводятся методы качественной и количественной …