ANTTI PETAJISTO PDF

Antti Petajisto of Yale University, CT (YU) with expertise in: Econometrics, Financial Economics and Statistics. Read 13 publications, and contact Antti Petajisto. ANTTI PETAJISTO. Leonard N. Stern School of Business. New York University. 44 West 4th Street, Suite New York, NY Antti Petajisto is portfolio manager at LMR Partners, London. Related Topics. Portfolio Management ยท Mutual Funds, Pooled Funds, and Exchange-Traded Funds.

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Abstract On the surface, hedge funds seem to have much higher fees than actively managed mutual funds. Forgot your user name or password? Thank you for your interest in spreading the word on The Journal of Alternative Investments.

Antti Petajisto – Google Scholar Citations

Sign In or Create an Account. If you originally registered with a username please use that to sign in. When Benchmark Indices Have Alpha: Related articles in Web of Science Google Scholar. Email alerts New issue alert. The index premium and its hidden cost for index funds A Petajisto Journal of Empirical Finance 18 2, How active is your fund manager? No citing articles found. Their calibration shows that a moderately skilled active manager is approximately equally attractive to investors as a mutual fund manager or a hedge fund manager is, showing that both investment vehicles can coexist as efficient alternatives to investors.

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Oxford University Press is a department of the University of Oxford. Most users should sign in with their email address. However, the true cost of active management should be measured relative to the size of the active positions taken by a fund manager.

The system can’t perform the operation now. A hedge fund takes both long and short positions and uses leverage, which makes the active positions cheaper, but this can be offset by the expected incentive fees, especially for more volatile funds.

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Tweet Widget Facebook Like. G20 – General JEL: The Review of Financial Studies 22 9, New citations to this author.

New articles related to this author’s research. Measuring Tail Risks at High Frequency. We only request your email address so that the person you are recommending the page to knows that you wanted them to petajsto it, and that it is not junk mail.

Antti Petajisto, Ph.D

Global return premiums on earnings quality, value, and size M Kozlov, A Petajisto. Inefficiencies in the pricing of exchange-traded funds A Petajisto Financial Analysts Journal 73 1, Active Share predicts fund performance: A comparison of hedge funds and mutual funds J Keppo, A Petajisto. Nonindex funds petanisto the lowest Active Share underperform their benchmarks. Active and passive portfolio management mutual funds hedge funds ETFs behavioral finance.

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Further, their model explains documented empirical findings on career development of successful fund managers and on risk- taking in hedge funds. Why do demand curves for stocks slope down? Citing articles via Web of Science Close mobile search navigation Article navigation.

Purchase Subscription prices and ordering Short-term Access To purchase short term access, please sign in to your Oxford Academic account above. Should benchmark indices have alpha? If you have a subscription you may use the login form below to view the article. Their combined citations are counted only for the first article. Selection of an optimal index rule for an index fund A Petajisto.

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Shock Propagation and Banking Structure.

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