Utilize este identificador para referenciar este registo:
https://hdl.handle.net/1822/42652
Título: | Bond fund performance during recessions and expansions: empirical evidence from a small market |
Autor(es): | Leite, Paulo Armada, Manuel José da Rocha |
Data: | 2017 |
Editora: | Wiley |
Revista: | International Review of Finance |
Citação: | Leite, P., & Armada, M.R. (2017). Bond Fund Performance During Recessions and Expansions: Empirical Evidence from a Small Market. International Review of Finance, 17(1), 163-170. doi: 10.1111/irfi.12098 |
Resumo(s): | This paper provides the first investigation about bond mutual fund performance during recession and expansion periods separately. Based on multi-factor performance evaluation models, results show that bond funds significantly under perform the market during both phases of the business cycle. Nevertheless, unlike equity funds, bond funds exhibit considerably higher alphas during good economic states than during market downturns. These results, however, seem entirely driven by the global financial crisis sub-period. In contrast, during the recession associated to the Euro sovereign debt crisis, bond funds are able to accomplish neutral performance. This improved performance throughout the debt crisis seems to be related to more conservative investment strategies,which reflect an increase in managers’ risk aversion. |
Tipo: | Artigo |
URI: | https://hdl.handle.net/1822/42652 |
DOI: | 10.1111/irfi.12098 |
ISSN: | 1468-2443 |
Versão da editora: | http://onlinelibrary.wiley.com/ |
Arbitragem científica: | yes |
Acesso: | Acesso restrito UMinho |
Aparece nas coleções: | NIPE - Artigos em Revistas de Circulação Internacional com Arbitragem Científica |
Ficheiros deste registo:
Ficheiro | Descrição | Tamanho | Formato | |
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Leite e Armada, 2016.pdf Acesso restrito! | 130,93 kB | Adobe PDF | Ver/Abrir |