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Luis Ferruz Agudo
Departamento de Contabilidad y Finanzas. Facultad de Ciencias Económicas Universidad de Zaragoza

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Review
Published: 22 June 2021 in Sustainability
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Current concerns about environmental issues have led to many new trends in technology and financial management. Within this context of digital transformation and sustainable finance, Fintech has emerged as an alternative to traditional financial institutions. This paper, through a literature review and case study approach, analyzes the relationship between Fintech and sustainability, and the different areas of collaboration between Fintech and sustainable finance, from both a theoretical and descriptive perspective, while giving specific examples of current technological platforms. Additionally, in this paper, two Fintech initiatives (Clarity AI and Pensumo) are described, as well as several proposals to improve the detection of greenwashing and other deceptive behavior by firms. The results lead to the conclusion that sustainable finance and Fintech have many aspects in common, and that Fintech can make financial businesses more sustainable overall by promoting green finance. Furthermore, this paper highlights the importance of European and global regulation, mainly from the perspective of consumer protection.

ACS Style

Cristina Chueca Vergara; Luis Ferruz Agudo. Fintech and Sustainability: Do They Affect Each Other? Sustainability 2021, 13, 7012 .

AMA Style

Cristina Chueca Vergara, Luis Ferruz Agudo. Fintech and Sustainability: Do They Affect Each Other? Sustainability. 2021; 13 (13):7012.

Chicago/Turabian Style

Cristina Chueca Vergara; Luis Ferruz Agudo. 2021. "Fintech and Sustainability: Do They Affect Each Other?" Sustainability 13, no. 13: 7012.

Journal article
Published: 13 June 2021 in Studies of Applied Economics
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Mediante este trabajo analizamos la performance de un grupo de fondos de inversión españoles basándonos en el modelo CAPM y en el modelo condicional propuesto por Ferson y Schadt. Antes de la aplicación empírica de este segundo modelo, se han realizado rigurosos análisis econométricos de multicolinealidad de las variables del modelo así como análisis de su orden de integración para llevar a cabo regresiones no espurias y adecuadas. Obtenemos una mejor performance basándonos en el modelo condicional, el cual está además mejor especificado, permitiéndonos confirmar, por consiguiente, el uso de información privada por los gestores de fondos españoles.

ACS Style

Luis Ferruz Agudo; María Vargas Magallón; Javier Nievas López. ¿Utilizan los gestores españoles de fondos de inversión información privada en sus labores de gestión? Studies of Applied Economics 2021, 26, 257 -278.

AMA Style

Luis Ferruz Agudo, María Vargas Magallón, Javier Nievas López. ¿Utilizan los gestores españoles de fondos de inversión información privada en sus labores de gestión? Studies of Applied Economics. 2021; 26 (3):257-278.

Chicago/Turabian Style

Luis Ferruz Agudo; María Vargas Magallón; Javier Nievas López. 2021. "¿Utilizan los gestores españoles de fondos de inversión información privada en sus labores de gestión?" Studies of Applied Economics 26, no. 3: 257-278.

Journal article
Published: 01 January 2018 in Contabilidad y Negocios
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This article studies financial crises and their impact on the main types of financial investment. Specifically, the objective of this study is to analyze the impact that financial crises generated in purchase of jewelry at Ouro Scheffer. It was therefore necessary to first revise the concept of main types of investment in variable income and fixed income, as well as a history of gold, and to analyze the main financial crises. Applied and quantitative research was then carried out with an analysis of three temporal series: gold, Ibovespa and Ouro Scheffer’s jewelry sales revenue. The results found that the main financial crises of 1999 and 2008 had an impact on the jewelry sales temporal series. It was also possible to determine that these crises generated an impact on the gold and Ibovespa temporal series. Este artículo aborda las crisis financieras y los principales tipos de inversiones financieras, teniendo como objetivo general analizar el impacto que las crisis financieras causan en la compra de joyas en la empresa Ouro Scheffer. Para ello, se hizo necesario revisar los conceptos de los principales tipos de inversiones en renta variable y renta fija, histórico del oro y mapear las principales crisis financieras. Para alcanzar el objetivo de este estudio, se realizó una investigación de carácter aplicada, cuantitativa, con análisis de tres series temporales: Ouro, Ibovespa y Recetas de ventas de joyas de la empresa Ouro Scheffer. Los resultados encontrados demuestran que las principales crisis financieras de 1999 y 2008 tuvieron impacto en la serie temporal de ventas de joyas. También fue posible conocer el impacto que las crisis causaron en las series temporales Ouro e Ibovespa. Este artigo aborda sobre as crises financeiras e o principal tipo de investimento financeiro. O objetivo geral deste trabalho é analisar o impacto que as crises financeiras causam na compra de joias na empresa Ouro Scheffer. Com esse intuito, foi necessário verificar o conceito de principais tipos de investimento em renda variável e renda fixa, histórico de ouro e analisar as principais crises financeiras. Para atingir o objetivo deste estudo, foi realizada uma pesquisa aplicada e quantitativa com a análise de três séries temporais: Ouro, Ibovespa e receita de vendas de jóias da empresa Ouro Scheffer. Os resultados encontrados demonstram que as principais crises financeiras de 1999 e 2008 tiveram impacto nas séries temporais de vendas de joias. Também foi possível conhecer o impacto que as crises causaram nas séries temporais ouro e Ibovespa.

ACS Style

Luis Ferruz Agudo; Daniel Knebel Baggio; Gabriela Scheffer; Bruna Faccin Camargo. Analysis of the impact of financial crises on Ouro Scheffer’s jewelry sales. Contabilidad y Negocios 2018, 13, 74 -88.

AMA Style

Luis Ferruz Agudo, Daniel Knebel Baggio, Gabriela Scheffer, Bruna Faccin Camargo. Analysis of the impact of financial crises on Ouro Scheffer’s jewelry sales. Contabilidad y Negocios. 2018; 13 (26):74-88.

Chicago/Turabian Style

Luis Ferruz Agudo; Daniel Knebel Baggio; Gabriela Scheffer; Bruna Faccin Camargo. 2018. "Analysis of the impact of financial crises on Ouro Scheffer’s jewelry sales." Contabilidad y Negocios 13, no. 26: 74-88.

Journal article
Published: 03 July 2017 in El Trimestre Económico
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El objetivo de este estudio es analizar la relación entre el desempeño y el aumento del patrimonio de los fondos de inversión de renta variable de Brasil. Para realizarlo, se han considerado 459 fondos, (321 del IBOVESPA y 138 del IBX), durante un amplio horizonte temporal (de enero de 1997 a diciembre de 2006), cuyo comportamiento ha sido comparado por medio de sus resultados anuales, semestrales y trimestrales. Los fondos se han clasificado como ganadores o perdedores a través de la mediana de las rentabilidades y del crecimiento porcentual neto de su patrimonio, para des- arrollar el estudio en dos fases. Inicialmente se contrasta la persistencia del desempeño y enseguida la relación entre el desempeño y el crecimiento patrimonial. A partir de la metodología paramétrica de las tablas de contingencia se evidencia la persistencia en el desempeño y la relación entre éste y los movimientos futuros de capital.

ACS Style

Daniel Knebel Baggio; Luis Ferruz Agudo; Isabel Marco Sanjuán. ¿Es el desempeño de los fondos de inversión de Brasil un indicador de movimiento futuro de su patrimonio? El Trimestre Económico 2017, 77, 445 -471.

AMA Style

Daniel Knebel Baggio, Luis Ferruz Agudo, Isabel Marco Sanjuán. ¿Es el desempeño de los fondos de inversión de Brasil un indicador de movimiento futuro de su patrimonio? El Trimestre Económico. 2017; 77 (306):445-471.

Chicago/Turabian Style

Daniel Knebel Baggio; Luis Ferruz Agudo; Isabel Marco Sanjuán. 2017. "¿Es el desempeño de los fondos de inversión de Brasil un indicador de movimiento futuro de su patrimonio?" El Trimestre Económico 77, no. 306: 445-471.

Original articles
Published: 08 June 2016 in Applied Economics Letters
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We examine whether the Fama and French (1992) (F&F) model can be adapted to become a more versatile and flexible tool, capable of incorporating variations of company characteristics in a more dynamic form. For this, the risk factors are reconstructed at the end of each reading of monthly data. We argue that, over time, the evaluation of a company may change as a result of variations in its market price, size or book price, and we are aware that the F&F model does not accurately reflect these dynamics. Our results show that the adapted model is able to capture the behaviour of a greater number of stocks than the original F&F model and risk factors are more significant when building them through our procedure. In addition, we carry out these adaptations during a period of instability in financial markets.

ACS Style

Luis Ferruz; Guillermo Badía. Adapting and testing the Fama and French model, with some variations of company characteristics. Applied Economics Letters 2016, 24, 1 -4.

AMA Style

Luis Ferruz, Guillermo Badía. Adapting and testing the Fama and French model, with some variations of company characteristics. Applied Economics Letters. 2016; 24 (5):1-4.

Chicago/Turabian Style

Luis Ferruz; Guillermo Badía. 2016. "Adapting and testing the Fama and French model, with some variations of company characteristics." Applied Economics Letters 24, no. 5: 1-4.

Journal article
Published: 30 August 2014 in Revista de Administração IMED
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O presente artigo tem como objetivo identificar o melhor fundo de investimento em renda fixa disponível para o público do varejo no Banco do Brasil, na agência do Banco do Brasil na cidade de Passo -Fundo.

ACS Style

T.A.B. Forcelini; Daniel Knebel Baggio; Luis Ferruz Agudo; Bruna Faccin Camargo. Análise dos Fundos de Investimentos de Renda Fixa do Banco do Brasil S.A. Revista de Administração IMED 2014, 4, 1 .

AMA Style

T.A.B. Forcelini, Daniel Knebel Baggio, Luis Ferruz Agudo, Bruna Faccin Camargo. Análise dos Fundos de Investimentos de Renda Fixa do Banco do Brasil S.A. Revista de Administração IMED. 2014; 4 (2):1.

Chicago/Turabian Style

T.A.B. Forcelini; Daniel Knebel Baggio; Luis Ferruz Agudo; Bruna Faccin Camargo. 2014. "Análise dos Fundos de Investimentos de Renda Fixa do Banco do Brasil S.A." Revista de Administração IMED 4, no. 2: 1.

Book chapter
Published: 09 August 2014 in Handbook of Financial Econometrics and Statistics
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The aim of this chapter is to check whether certain playing rules, based on the undervaluation concept arising from the CAPM, could be useful as investment strategies, and can therefore be used to beat the Market. If such strategies work, we will be provided with a useful tool for investors, and, otherwise, we will obtain a test whose results will be connected with the Efficient Market Hypothesis (EMH) and with the CAPM.

ACS Style

Fernando Gomez-Bezares; Luis Ferruz; María Vargas. Can We Use the CAPM as an Investment Strategy?: An Intuitive CAPM and Efficiency Test. Handbook of Financial Econometrics and Statistics 2014, 751 -789.

AMA Style

Fernando Gomez-Bezares, Luis Ferruz, María Vargas. Can We Use the CAPM as an Investment Strategy?: An Intuitive CAPM and Efficiency Test. Handbook of Financial Econometrics and Statistics. 2014; ():751-789.

Chicago/Turabian Style

Fernando Gomez-Bezares; Luis Ferruz; María Vargas. 2014. "Can We Use the CAPM as an Investment Strategy?: An Intuitive CAPM and Efficiency Test." Handbook of Financial Econometrics and Statistics , no. : 751-789.

Book chapter
Published: 09 August 2014 in Handbook of Financial Econometrics and Statistics
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This work reflects the impact of the Spanish and UK pension funds investment on the market efficiency; specifically, we analyze if manager’s behavior enhances the existence of herding phenomena. To implement this study, we apply a less common methodology: the estimated cross-sectional standard deviations of betas. We also estimate the betas with an econometric technique less applied in the financial literature: state-space models and the Kalman filter. Additionally, in order to obtain a robust estimation, we apply the Huber estimator. Finally, we apply several models and study the existence of herding towards the market, size, book-to-market, and momentum factors. The results are similar for the two countries and style factors, revealing the existence of herding. Nonetheless, this is smaller on size, book-to-market, and momentum factors.

ACS Style

Mercedes Alda García; Luis Ferruz. Pension Funds: Financial Econometrics on the Herding Phenomenon in Spain and the United Kingdom. Handbook of Financial Econometrics and Statistics 2014, 1801 -1828.

AMA Style

Mercedes Alda García, Luis Ferruz. Pension Funds: Financial Econometrics on the Herding Phenomenon in Spain and the United Kingdom. Handbook of Financial Econometrics and Statistics. 2014; ():1801-1828.

Chicago/Turabian Style

Mercedes Alda García; Luis Ferruz. 2014. "Pension Funds: Financial Econometrics on the Herding Phenomenon in Spain and the United Kingdom." Handbook of Financial Econometrics and Statistics , no. : 1801-1828.

Original articles
Published: 01 January 2012 in Spanish Journal of Finance and Accounting / Revista Española de Financiación y Contabilidad
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Based on a strict and intuitive methodology, the article proposes an empirical test of the CAPM for the main Spanish market stocks. The idea is to replicate the behaviour of an investor purchasing undervalued shares according to the CAPM in order to beat the market during the following period. Where the investor does not meet his objective, the results are consistent with market efficiency and with the CAPM, as the stocks would quickly adapt to their rational value, according to the model. Otherwise, a strategy to beat the market would have been found, obtaining returns above those expected for a given level of systematic risk. Our results are consistent with market efficiency and with the CAPM. This conclusion is reached in different ways, indicating the robustness of the procedure.

ACS Style

Fernando Gómez-Bezares; Luis Ferruz; Maria Vargas. Can we beat the market with beta? An intuitive test of the CAPM. Spanish Journal of Finance and Accounting / Revista Española de Financiación y Contabilidad 2012, 41, 333 -352.

AMA Style

Fernando Gómez-Bezares, Luis Ferruz, Maria Vargas. Can we beat the market with beta? An intuitive test of the CAPM. Spanish Journal of Finance and Accounting / Revista Española de Financiación y Contabilidad. 2012; 41 (155):333-352.

Chicago/Turabian Style

Fernando Gómez-Bezares; Luis Ferruz; Maria Vargas. 2012. "Can we beat the market with beta? An intuitive test of the CAPM." Spanish Journal of Finance and Accounting / Revista Española de Financiación y Contabilidad 41, no. 155: 333-352.

Original articles
Published: 01 September 2011 in Applied Economics
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Traditional timing models are affected by several biases, which generate spurious timing and stock-picking coefficients. Academics have appointed different causes as the possible sources of these biases. A negative correlation between timing and stock-picking abilities arises as a consequence of the biases in traditional timing models. This article provides evidence for one bias commonly found in traditional timing models, which is related with options. We focus on this bias in view of the scant attention it has so far received in the literature. We believe one possible cause for this bias is the failure to include the cost of the option implicit in timing activities in the timing models, and on this basis, we opt for a corrected version of the Merton and Henriksson model (1981 Merton, RC and Henriksson, RD. 1981. On market timing and investment performance II: statistical procedures for evaluating forecasting skills. Journal of Business, 54: 513–34. [Crossref] [Google Scholar]). This study therefore is a pioneer in the assessment of the magnitude of this bias and in the measurement of the impact of its correction on fund managers’ results. Our results confirm both the existence of the bias and the correction of the problem when the cost of the option is included in timing models. The modified version of the Merton and Henriksson model, unlike the traditional model, reports positive timing and stock-picking coefficients, supporting the good performance by managers.

ACS Style

Luis Ferruz; Fernando Munoz; Maria Vargas. Are traditional timing models well specified? Applied Economics 2011, 43, 3433 -3440.

AMA Style

Luis Ferruz, Fernando Munoz, Maria Vargas. Are traditional timing models well specified? Applied Economics. 2011; 43 (24):3433-3440.

Chicago/Turabian Style

Luis Ferruz; Fernando Munoz; Maria Vargas. 2011. "Are traditional timing models well specified?" Applied Economics 43, no. 24: 3433-3440.

Journal article
Published: 29 July 2011 in Journal of Business Ethics
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In this study, we analyze the financial performance and the managerial abilities of religious mutual fund managers, implementing a comparative analysis with conventional mutual funds. We use a broad sample, free of survivorship bias, of religious equity mutual funds from the US market, for the period from January 1994 to September 2010. We build a matched-pair conventional sample in order to compare the results obtained for both kinds of mutual fund managers. We analyze stock-picking and market timing abilities, topics widely neglected for the specific case of religious mutual fund managers. We also study style timing abilities. As far as we are aware, this aspect has not been studied previously for religious mutual fund managers. Our results indicate that religious mutual fund managers underperform both the market and their conventional counterparts. This result is driven by negative stock-picking ability which could be generated by excluding “Sin” stocks from their portfolios. Moreover, they are not able to time the market or any of the following styles: size, book-to-market, and momentum.

ACS Style

Luis Ferruz; Fernando Muñoz; María Vargas. Managerial Abilities: Evidence from Religious Mutual Fund Managers. Journal of Business Ethics 2011, 105, 503 -517.

AMA Style

Luis Ferruz, Fernando Muñoz, María Vargas. Managerial Abilities: Evidence from Religious Mutual Fund Managers. Journal of Business Ethics. 2011; 105 (4):503-517.

Chicago/Turabian Style

Luis Ferruz; Fernando Muñoz; María Vargas. 2011. "Managerial Abilities: Evidence from Religious Mutual Fund Managers." Journal of Business Ethics 105, no. 4: 503-517.

Journal article
Published: 15 November 2010 in Pensions: An International Journal
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Pensions is one of the leading sources of authoritative and detailed information on the practical issues faced by all involved in 'saving for retirement'.

ACS Style

Luis Ferruz Agudo; Mercedes Alda García. The reform of some European public pension systems: Spain, Italy and Sweden: A breakthrough? Pensions: An International Journal 2010, 15, 297 -304.

AMA Style

Luis Ferruz Agudo, Mercedes Alda García. The reform of some European public pension systems: Spain, Italy and Sweden: A breakthrough? Pensions: An International Journal. 2010; 15 (4):297-304.

Chicago/Turabian Style

Luis Ferruz Agudo; Mercedes Alda García. 2010. "The reform of some European public pension systems: Spain, Italy and Sweden: A breakthrough?" Pensions: An International Journal 15, no. 4: 297-304.

Chapter
Published: 01 January 2010 in Handbook of Quantitative Finance and Risk Management
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This chapter is focused on the “Portfolio Theory” created by Markowitz. This theory has the objective of finding the optimum portfolio for investors; that is, that which gives tangency between an indifference curve and the efficient frontier. In this chapter, the mathematics of this model is developed. The CAPM, based on this theory, gives the expected return on an asset depending on the systematic risk of the asset. This model detects underpriced and overpriced assets. The critics expressed against the model and their application possibilities are also analyzed. Finally, the chapter centers on performance measures related to portfolio theory (classic indices, derivative indices and new approaches) and on the performance persistence phenomenon employing the aforementioned indices, including an empirical example.

ACS Style

Luis Ferruz; Fernando Gómez-Bezares; Maria Vargas. Portfolio Theory, CAPM and Performance Measures. Handbook of Quantitative Finance and Risk Management 2010, 267 -281.

AMA Style

Luis Ferruz, Fernando Gómez-Bezares, Maria Vargas. Portfolio Theory, CAPM and Performance Measures. Handbook of Quantitative Finance and Risk Management. 2010; ():267-281.

Chicago/Turabian Style

Luis Ferruz; Fernando Gómez-Bezares; Maria Vargas. 2010. "Portfolio Theory, CAPM and Performance Measures." Handbook of Quantitative Finance and Risk Management , no. : 267-281.

Original articles
Published: 23 July 2009 in Applied Financial Economics
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In the present study, we confirm the asymmetry of the performance-flow relationship documented in the literature, but with the particularities of the sample of Spanish funds. Thus, we conclude that mid-performers show no significant influence on investor decisions. The panel data analysis also allows us to conclude that custodial and management fees and the size of the fund have a negative impact on the flows into funds. Empirical evidence is provided on the differential response of investors to the decision factors depending on the market states.

ACS Style

Luis Ferruz; Cristina Ortiz; José L. Sarto. Decisions of domestic equity fund investors: determinants and search costs. Applied Financial Economics 2009, 19, 1295 -1304.

AMA Style

Luis Ferruz, Cristina Ortiz, José L. Sarto. Decisions of domestic equity fund investors: determinants and search costs. Applied Financial Economics. 2009; 19 (16):1295-1304.

Chicago/Turabian Style

Luis Ferruz; Cristina Ortiz; José L. Sarto. 2009. "Decisions of domestic equity fund investors: determinants and search costs." Applied Financial Economics 19, no. 16: 1295-1304.

Journal article
Published: 04 February 2009 in Review of Quantitative Finance and Accounting
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This paper aims to determine whether the size of a fund family influences investment strategy (stock picking or market timing) in the Spanish mutual fund market. This is a highly concentrated market, being controlled by two banks with a percentage of 46%. The impact of considering time-varying returns and risks on selectivity and market timing results is also assessed. Our results indicate that large management companies follow a market timing strategy, while small management companies are better at stock picking. These results are more obvious when conditional information is included. Additional tests are carried out to check the robustness of our results. We observe that the results obtained for large and small management companies are maintained when we control for fund size and when we introduce additional benchmarks into the timing model. However, when the time period is divided into two subperiods, the results are no longer robust. This may be connected to the evolution of returns in the Spanish market.

ACS Style

Luis Ferruz; Fernando Muñoz; María Vargas. Does the size of a fund family matter when choosing an investment strategy? Evidence from spain. Review of Quantitative Finance and Accounting 2009, 35, 315 -334.

AMA Style

Luis Ferruz, Fernando Muñoz, María Vargas. Does the size of a fund family matter when choosing an investment strategy? Evidence from spain. Review of Quantitative Finance and Accounting. 2009; 35 (3):315-334.

Chicago/Turabian Style

Luis Ferruz; Fernando Muñoz; María Vargas. 2009. "Does the size of a fund family matter when choosing an investment strategy? Evidence from spain." Review of Quantitative Finance and Accounting 35, no. 3: 315-334.

Original articles
Published: 26 January 2009 in Applied Financial Economics
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This work corrects the risk quotient penalization carried out by the Sharpe and Treynor ratios, which, assuming normality in returns distribution, are equivalent to classifying the funds according to the probability of their returns being below that of the risk-free asset, without considering the entire distribution of the funds’ returns. Different performance measures are applied to a sample of Spanish investment funds, and it is shown that all the measures lead to similar fund classifications, enabling us to conclude that the measures proposed, though methodologically improving the Sharpe and Treynor ratios, maintain their economic meaning and their financial nature.

ACS Style

Luis Ferruz; Fernando Gómez-Bezares; Maria Vargas. Performance measures: advantages of linear risk penalization. Applied Financial Economics 2009, 19, 73 -85.

AMA Style

Luis Ferruz, Fernando Gómez-Bezares, Maria Vargas. Performance measures: advantages of linear risk penalization. Applied Financial Economics. 2009; 19 (1):73-85.

Chicago/Turabian Style

Luis Ferruz; Fernando Gómez-Bezares; Maria Vargas. 2009. "Performance measures: advantages of linear risk penalization." Applied Financial Economics 19, no. 1: 73-85.

Original articles
Published: 01 January 2009 in Spanish Journal of Finance and Accounting / Revista Española de Financiación y Contabilidad
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This paper tests the degree of the relationship between the fund management company size and the subsequent flows of money and investors. We intend to provide detailed evidence with a non-parametric methodology by improving the statistics to gather specific situations. There is clear evidence of the different attitudes of investors towards the branch image of the management company whether we analyze money market or domestic equity funds in the Spanish market. Furthermore, the weight investors give to the fund family is conditioned to past performance.

ACS Style

Luis Ferruz; Cristina Ortiz; José L. Sarto. Management company size influence on fund flows. Spanish Journal of Finance and Accounting / Revista Española de Financiación y Contabilidad 2009, 38, 173 -188.

AMA Style

Luis Ferruz, Cristina Ortiz, José L. Sarto. Management company size influence on fund flows. Spanish Journal of Finance and Accounting / Revista Española de Financiación y Contabilidad. 2009; 38 (142):173-188.

Chicago/Turabian Style

Luis Ferruz; Cristina Ortiz; José L. Sarto. 2009. "Management company size influence on fund flows." Spanish Journal of Finance and Accounting / Revista Española de Financiación y Contabilidad 38, no. 142: 173-188.

Original articles
Published: 29 July 2008 in Applied Financial Economics
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In this work, we evaluate the use of public and private information by Spanish fund managers by means of an analysis of their traditional and conditional performance. Furthermore, we repeat this analysis for various fund subsets compiling their different characteristics, which allows us to determine the impact of diverse effects on performance. In addition, we restrict this analysis to the fund subset for which public information variables show a high predictive power. Prior to the model application, we develop an analysis of the integration order of variables and of multi-collinearity to assure models work well.

ACS Style

Luis Ferruz; Javier Nievas; Maria Vargas. Do Spanish mutual fund managers use public and private information correctly? Use of information in mutual fund management. Applied Financial Economics 2008, 18, 1319 -1331.

AMA Style

Luis Ferruz, Javier Nievas, Maria Vargas. Do Spanish mutual fund managers use public and private information correctly? Use of information in mutual fund management. Applied Financial Economics. 2008; 18 (16):1319-1331.

Chicago/Turabian Style

Luis Ferruz; Javier Nievas; Maria Vargas. 2008. "Do Spanish mutual fund managers use public and private information correctly? Use of information in mutual fund management." Applied Financial Economics 18, no. 16: 1319-1331.

Original articles
Published: 18 June 2008 in Applied Economics Letters
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We analyse the herding phenomenon in the management style of Spanish equity funds. Using the methodology of Lakonishok et al. (1992) Lakonishok, J., Shleifer, A. and Vishny, R. 1992. The impact of institutional trading on stock prices. Journal of Financial Economics, 32: 23–43. [Crossref], [Web of Science ®] [Google Scholar] and Sharpe's style analysis (1992) Sharpe, W. F. 1992. Asset allocation: management style and performance measurement. Journal of Portfolio Management, 18: 7–19. [Crossref], [Web of Science ®] [Google Scholar], we find interesting conclusions in the investment behaviour of fund managers, a barely-explored aspect, especially in the Spanish market.

ACS Style

Luis Ferruz Agudo; J. L. Sarto; L. Vicente. Herding behaviour in Spanish equity funds. Applied Economics Letters 2008, 15, 573 -576.

AMA Style

Luis Ferruz Agudo, J. L. Sarto, L. Vicente. Herding behaviour in Spanish equity funds. Applied Economics Letters. 2008; 15 (7):573-576.

Chicago/Turabian Style

Luis Ferruz Agudo; J. L. Sarto; L. Vicente. 2008. "Herding behaviour in Spanish equity funds." Applied Economics Letters 15, no. 7: 573-576.

Journal article
Published: 04 June 2008 in Review of Quantitative Finance and Accounting
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This article analyzes the phenomenon of performance persistence in Spanish equity pension plans between 1999 and 2006 to determine whether plans with higher performance in one period continue obtaining higher performance in the future. It also aims to determine the influence of past performance on investor behavior in order to examine whether money and investor flows of these portfolios are affected by past performance. The results reveal the existence of short-term performance persistence and a statistically significant relationship between historical returns and investment flows.

ACS Style

Luis Ferruz; Luis Vicente; Laura Andreu. Performance persistence and its influence on money and investor flows into Spanish pension plans. Review of Quantitative Finance and Accounting 2008, 32, 85 -100.

AMA Style

Luis Ferruz, Luis Vicente, Laura Andreu. Performance persistence and its influence on money and investor flows into Spanish pension plans. Review of Quantitative Finance and Accounting. 2008; 32 (1):85-100.

Chicago/Turabian Style

Luis Ferruz; Luis Vicente; Laura Andreu. 2008. "Performance persistence and its influence on money and investor flows into Spanish pension plans." Review of Quantitative Finance and Accounting 32, no. 1: 85-100.