Seasonality and idiosyncratic risk in mutual fund performance

DOI10.1016/J.EJOR.2013.09.011MaRDI QIDQ297003zbMATHOpenAlexFDO

Authors Javier Vidal-García, Marta Vidal

Publication date 24 June 2016

Published in European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.ejor.2013.09.011

zbMATH Keywords

seasonalityidiosyncratic riskmutual fund performancetax-loss selling

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05)

Recommendations

• Time Variation in Mutual Fund Style Exposures*
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Cites work

• An Intertemporal Capital Asset Pricing Model
• An experimental examination of the house money effect in a multi-period setting
• Common risk factors in the returns on stocks and bonds
• Volatility and Links between National Stock Markets

Cited in

(4)

• Return seasonalities in government bonds and macroeconomic risk
• Short-term volatility timing: a cross-country study
• The Impact of Fundamental Investment Fund Features on the Level of Risk
• Operational risk: emerging markets, sectors and measurement

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