Global ETD Search
Search theses and dissertations gathered from participating repositories worldwide. Every result links back to the library that holds it. No account is needed.
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Showing 1 to 12 of 12 for “"index funds"”.
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Some contributions to the analysis and construction of funds in South Africa
… in 1965, the industry has grown to over 100 funds with more than 20 companies managing these funds. Since 1990 there has been particularly rapid growth in 'Specialist Equity Funds' with more than 30 new 'specialist' unit trusts emerging. Specialist equity fund managers usually concentrate …
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Two Essays Relating to Mutual Fund Performance
… In the first chapter, we look at exchange-traded funds (ETFs) and how they differ from index funds in performance and tracking error. Using daily data and a more comprehensive sample than past research, we find abnormal returns associated with the ETFs are higher than the alphas of the index funds …
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Testing for systematic ESG fund construction and independence measures
… case for Environmental, Social and Governance Funds (ESG), however research into how these funds are constructed has been less studied. The purpose of this study is not to investigate the risk return case for ESG funds. Instead, this study will focus on the uniqueness of construction, and …
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Limits to Arbitrage and Commodity Index Investment
The dramatic growth of commodity index investment over the last decade has caused a heated debate regarding its impact on commodity prices among legislators, practitioners and academics. This paper focuses on the unique rolling activity of commodity index investors in the commodity futures markets …
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Essays in financial economics
… the effect of competition from low-cost index funds on fees in the money management industry. A difference-in-differences analysis exploiting the staggered entry of index funds finds that while actively managed funds sold directly to retail investors reduce fees by six percent, those sold …
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Essays on taxation and mutual funds
… framework, comparing actively managed to index funds; this technique gives a lower-bound estimate of the increase in the fraction of gains paid-out as long-term after the Act of five percentage points. The second chapter examines equity mutual fund dividend yields. Dividends are …
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Essays on index premia and demand curves for stocks
… consists of three chapters that investigate the index premium and its underlying economics both theoretically and empirically. The first chapter presents our empirical findings about the index premium and its properties. First, we find that the index premia for both the S&P 500 and Russell 2000 …
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Hybrid optimisation and formation of index tracking portfolio in TSE
… core component of the portfolio consists of an index-tracking portfolio which has been formulated using a meta-heuristic genetic algorithm, allowing for the efficient search of the solution space for an optimal (or near-optimal) solution. The satellite component is made up of publicly traded …
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Essays on the Transmission of Monetary and Macroprudential Policies
… Specifically, I find that green firms held by index funds with ESG mandates exhibit a lower sensitivity to monetary policy shocks compared to brown firms. Additionally, I find that the share of green assets in the portfolios of institutional investors does indeed rise in response to higher …
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Constructing low cost core-satellite portfolios with multiple risk constraints: practical applications to Robo advising in South Africa using active, passive and smart-beta strategies
… large institutional investors, including pension funds, plan sponsors, foundations, and endowments. More recently, risk and tracking error budgeting have gained popularity among financial advisors, multi-managers, fund of funds managers, high net worth individuals as well as retail investors. …
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Three Essays On Agricultural Futures Traders
… markets and encompass the agricultural commodity index trading activity. The data used are from the proprietary large trader database of the Commodity Futures Trading Commission (CFTC) that details individual trader end of day positions and covers the years 2000 to 2009. The growth of index fund …
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Three essays on mispricing and market efficiency
… essays. The first essay studies the impact of indexing on stock price efficiency. Indexing has experienced substantial growth over the last two decades because it is an effective way of holding a diversified portfolio while minimizing trading costs and taxes. In this paper, we focus on one …