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Mutual fund systematic risk and performance for bull and bear market - An empirical examination in the US market
불 시장과 베어 시장에서 뮤츄얼펀드 체제적 위험과 실적 -미국 시장에 대한 실증분석

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Authors
이엽
Advisor
안동현
Major
사회과학대학 경제학부
Issue Date
2015-08
Publisher
서울대학교 대학원
Keywords
alpha differentialsystematic risk differentialbull and bear market
Description
학위논문 (석사)-- 서울대학교 대학원 : 경제학과 경제학전공, 2015. 8. 안동현.
Abstract
This paper analyses mutual fund systematic risk and performance for bull and bear market through one traditional extended single factor CAPM model and another multi-factorial model constructed by adding size risk, value risk, momentum risk factors. Our results show that US mutual fund market does not have successful timing ability of market risk and size risk, but success in timing value risk and momentum risk. Alpha performance is also valued in both bull market and bear market. In general, alpha performs better in bull market than bear market. Other notable findings are that relation between alpha performance and risk differential presents different features on different risk factors. Finally, we observe the relationship between risk and risk differential.
Language
English
URI
https://hdl.handle.net/10371/134673
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College of Social Sciences (사회과학대학)Dept. of Economics (경제학부)Theses (Master's Degree_경제학부)
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