Mutual funds and short sales: a performance analysis

Detalhes bibliográficos
Autor(a) principal: Nunes, Alice Isabel Manilhas
Data de Publicação: 2017
Tipo de documento: Dissertação
Idioma: eng
Título da fonte: Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
Texto Completo: http://hdl.handle.net/10362/25885
Resumo: Over the last decade there has been an increase in the use of short sales by mutual funds, however research on this phenomenon is still scarce. Previous empirical studies on traditional mutual funds provide evidence of a negative net performance but overall research on short sellers indicates the existence of skill. Thus, the question arises of whether mutual funds engaging in short sales are able to earn abnormal returns. Using detailed data on portfolio holdings, one shows that these mutual funds generate statistically significant annual abnormal returns of 4 and 3 percent in both their short and long positions, respectively.
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spelling Mutual funds and short sales: a performance analysisMutual fundsShort salesPortfolio holdingsAbnormal performanceDomínio/Área Científica::Ciências Sociais::Economia e GestãoOver the last decade there has been an increase in the use of short sales by mutual funds, however research on this phenomenon is still scarce. Previous empirical studies on traditional mutual funds provide evidence of a negative net performance but overall research on short sellers indicates the existence of skill. Thus, the question arises of whether mutual funds engaging in short sales are able to earn abnormal returns. Using detailed data on portfolio holdings, one shows that these mutual funds generate statistically significant annual abnormal returns of 4 and 3 percent in both their short and long positions, respectively.Prado, MelissaRUNNunes, Alice Isabel Manilhas2017-11-29T15:12:31Z2017-01-202017-01-20T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/masterThesisapplication/pdfhttp://hdl.handle.net/10362/25885TID:201713497enginfo:eu-repo/semantics/openAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2024-03-11T04:13:38Zoai:run.unl.pt:10362/25885Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-20T03:28:24.347080Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse
dc.title.none.fl_str_mv Mutual funds and short sales: a performance analysis
title Mutual funds and short sales: a performance analysis
spellingShingle Mutual funds and short sales: a performance analysis
Nunes, Alice Isabel Manilhas
Mutual funds
Short sales
Portfolio holdings
Abnormal performance
Domínio/Área Científica::Ciências Sociais::Economia e Gestão
title_short Mutual funds and short sales: a performance analysis
title_full Mutual funds and short sales: a performance analysis
title_fullStr Mutual funds and short sales: a performance analysis
title_full_unstemmed Mutual funds and short sales: a performance analysis
title_sort Mutual funds and short sales: a performance analysis
author Nunes, Alice Isabel Manilhas
author_facet Nunes, Alice Isabel Manilhas
author_role author
dc.contributor.none.fl_str_mv Prado, Melissa
RUN
dc.contributor.author.fl_str_mv Nunes, Alice Isabel Manilhas
dc.subject.por.fl_str_mv Mutual funds
Short sales
Portfolio holdings
Abnormal performance
Domínio/Área Científica::Ciências Sociais::Economia e Gestão
topic Mutual funds
Short sales
Portfolio holdings
Abnormal performance
Domínio/Área Científica::Ciências Sociais::Economia e Gestão
description Over the last decade there has been an increase in the use of short sales by mutual funds, however research on this phenomenon is still scarce. Previous empirical studies on traditional mutual funds provide evidence of a negative net performance but overall research on short sellers indicates the existence of skill. Thus, the question arises of whether mutual funds engaging in short sales are able to earn abnormal returns. Using detailed data on portfolio holdings, one shows that these mutual funds generate statistically significant annual abnormal returns of 4 and 3 percent in both their short and long positions, respectively.
publishDate 2017
dc.date.none.fl_str_mv 2017-11-29T15:12:31Z
2017-01-20
2017-01-20T00:00:00Z
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/masterThesis
format masterThesis
status_str publishedVersion
dc.identifier.uri.fl_str_mv http://hdl.handle.net/10362/25885
TID:201713497
url http://hdl.handle.net/10362/25885
identifier_str_mv TID:201713497
dc.language.iso.fl_str_mv eng
language eng
dc.rights.driver.fl_str_mv info:eu-repo/semantics/openAccess
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
dc.source.none.fl_str_mv reponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron:RCAAP
instname_str Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
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reponame_str Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
collection Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
repository.name.fl_str_mv Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
repository.mail.fl_str_mv
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