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Schädler, T. (2018). Measuring Irrationality in Financial Markets. Archives of Business Research, 6, 252-259.
https://doi.org/10.14738/abr.612.5876

has been cited by the following article:

  • TITLE: Active vs. Passive Funds—An Empirical Analysis of the German Equity Market

    AUTHORS: Ernst J. Fahling, Elmar Steurer, Sven Sauer

    KEYWORDS: Portfolio Decisions, Investment Decisions, Active Portfolio Management, Passive Portfolio Management, Performance Analysis

    JOURNAL NAME: Journal of Financial Risk Management, Vol.8 No.2, June 13, 2019

    ABSTRACT: The purpose of this study is to capture value created by active funds in the German investment fund market. A sample of n = 194 actively managed funds is investigated to assess relative superior or inferior performance. For each actively managed fund, percentage changes in closing share prices for various investment periods are recorded and together set against the performance of the passive market. A benchmark is created out of the arithmetic mean of four passive exchange-traded funds representing more characteristics of the market than the S & P500 or DAX. Further bench-mark comparison is conducted with generally accepted Market Research Returns, and various performance calculation measures are presented. Risk-adjusted performance results show that active funds can and do create value in terms of abnormal returns, but these are mostly offset by expenses. Regression results prevent a rejection of the null hypothesis, indicating that active funds in general do not create significant value in form of alpha.