Relative excess returns

Article Abstract:

A relative excess returns approach to the comprehension of changes in stock prices was developed based on a no-arbitrage relationship proposed by Clare, Thomas and Wickens between the returns of equity, bonds and treasury bills. The no-arbitrage relationship was applied in the derivation of a specific measure of excess returns, which includes both the excess returns to equity and bonds while netting out any unfavorable return predictability due to time variation in the treasury bill rate.

Government Bonds, Treasury Bills (+), Analysis, Prices and rates, Stocks, Bonds, Bonds (Securities), Stock prices, Return on investment, Treasury securities, Rate of return

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Market timing abilities of fund managers: parametric and non-parametric tests

Article Abstract:

A study on the market timing abilities of fund managers in Singapore is presented. Parametric and non-parametric tests are used in examining the performance of Singapore fund managers. The results of the non-parametric testsindicate the presence of market timing ability among Singapore fund managers while the results of the parametric tests show an entirely different conclusion. Reconciliation of the results indicate the presence of market timing abilities among Singapore fund managers.

Investment offices, not elsewhere classified, Testing, Mutual funds, Investment advisers

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Time diversification: empirical tests

Article Abstract:

Research is presented concerning the relationship between the investment horizon length length chosen by investors and the performance of securities. Two centuries of US and United Kingdom data are used to determine optimal portfolio diversification.

Investments, Securities

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