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Volatility Timing in Mutual Funds: Evidence from Daily Returns

✍ Scribed by Busse, J. A.


Book ID
121429903
Publisher
Oxford University Press
Year
1999
Tongue
English
Weight
215 KB
Volume
12
Category
Article
ISSN
0893-9454

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Derivatives do affect mutual fund return
✍ Charles Cao; Eric Ghysels; Frank Hatheway πŸ“‚ Article πŸ“… 2010 πŸ› John Wiley and Sons 🌐 English βš– 153 KB πŸ‘ 1 views

Using a unique data set of detailed balance sheet information on mutual funds, we find that most mutual funds using derivatives do so to a very limited extent that has little discernable impact on returns. However, there exist two types of funds that make more extensive use of derivatives, global fu