Investment and profitability factors in mutual fund performance evaluation: a conditional approach
This paper provides new evidence on the appropriateness of the Fama-French (2015) five-factor model to evaluate international equity funds’ performance. After extending this model to a conditional framework by allowing for time-varying risk and performance, the results show that funds underperformed...
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| Formato: | article |
| Idioma: | eng |
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2020
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| Texto completo: | http://hdl.handle.net/1822/69295 |
| País: | Portugal |
| Oai: | oai:repositorium.sdum.uminho.pt:1822/69295 |