An Introduction to Wavelets and Other Filtering Methods in Finance and Economics presents
a unified view of filtering techniques with a special focus on wavelet analysis in finance and …

This paper studies the performance of 60 European funds from four countries. The paper
extends the UK matched pair approach for fund evaluation developed by Mallin et al.(1995) …

There has been a considerable increase in the number of ethical trusts in the UK over the
last ten years. Most studies of ethical trusts (for example Harte et al., 1991; and Perks et al …

This paper uses a large sample containing the complete return histories of 2300UK
openended mutual funds over a 23-year period to measure fund performance. We find some …

This paper investigates three techniques for the estimation of conditional time‐dependent
betas:(a) a multivariate generalised ARCH approach;(b) a time‐varying beta market model …

We hypothesize that local knowledge and contacts lead to superior returns for local mutual
fund managers relative to foreign managers. To test this hypothesis, we study the …

This paper investigates the performance of three different approaches to modelling time‐
variation in conditional asset betas: GARCH models, the extended market model of Schwert …

The aims of this paper are to detect evidence of institutional investor herding behaviour and
examine the role that investor sentiment plays in institutional investor herding behaviour …

It is well known that the CAPM beta is not stable over time. We investigate the nature of the
time-variation in betas using monthly Australian data from 1979 to 1994 for 23 sectors. We …

This paper focuses on the estimation of mutual fund styles by return-based style analysis.
Often the investment style is assumed to be constant through time. Alternatively, time …