Empirical analysis of investment strategies for institutional investors

L.A.P. Swinkels

Research output: ThesisDoctoral ThesisScientific

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Abstract

This thesis consists of three parts that examine several topics concerning institutional asset management. In Part I, investment strategies based on stock returns in previous months known as momentum strategies are investigated in more detail. More specifically, the driving forces behind these strategies are studied with emphasis on the European stock markets. In Part II, the asset allocation policy of retirements savings plans is analyzed. The influence of new pension fund regulations in the Netherlands is examined, as well as the potential risk reduction that alternative assets such as commodities might have. The third and last part studies the investment behavior of mutual funds. We describe a novel method for dynamic return-based style analysis and analyze fund manager selectivity and timing skill of mutual funds with an asset allocation objective.
Original languageEnglish
QualificationDoctor of Philosophy
Awarding Institution
  • Tilburg University
Supervisors/Advisors
  • Nijman, Theo, Promotor
  • Verbeek, M.J.C.M., Promotor
Award date17 Dec 2003
Place of PublicationTilburg
Publisher
Print ISBNs9096681273
Publication statusPublished - 2003

Fingerprint

Asset allocation
Institutional investors
Investment strategy
Empirical analysis
Mutual funds
Asset management
Investment behavior
Retirement saving
Style analysis
Pension funds
Alternative assets
Stock returns
Driving force
Commodities
European stock markets
Selectivity
Momentum strategies
Fund managers
The Netherlands
Risk reduction

Cite this

Swinkels, L. A. P. (2003). Empirical analysis of investment strategies for institutional investors. Tilburg: CentER, Center for Economic Research.
Swinkels, L.A.P.. / Empirical analysis of investment strategies for institutional investors. Tilburg : CentER, Center for Economic Research, 2003. 208 p.
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Swinkels, LAP 2003, 'Empirical analysis of investment strategies for institutional investors', Doctor of Philosophy, Tilburg University, Tilburg.

Empirical analysis of investment strategies for institutional investors. / Swinkels, L.A.P.

Tilburg : CentER, Center for Economic Research, 2003. 208 p.

Research output: ThesisDoctoral ThesisScientific

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T1 - Empirical analysis of investment strategies for institutional investors

AU - Swinkels, L.A.P.

PY - 2003

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N2 - This thesis consists of three parts that examine several topics concerning institutional asset management. In Part I, investment strategies based on stock returns in previous months known as momentum strategies are investigated in more detail. More specifically, the driving forces behind these strategies are studied with emphasis on the European stock markets. In Part II, the asset allocation policy of retirements savings plans is analyzed. The influence of new pension fund regulations in the Netherlands is examined, as well as the potential risk reduction that alternative assets such as commodities might have. The third and last part studies the investment behavior of mutual funds. We describe a novel method for dynamic return-based style analysis and analyze fund manager selectivity and timing skill of mutual funds with an asset allocation objective.

AB - This thesis consists of three parts that examine several topics concerning institutional asset management. In Part I, investment strategies based on stock returns in previous months known as momentum strategies are investigated in more detail. More specifically, the driving forces behind these strategies are studied with emphasis on the European stock markets. In Part II, the asset allocation policy of retirements savings plans is analyzed. The influence of new pension fund regulations in the Netherlands is examined, as well as the potential risk reduction that alternative assets such as commodities might have. The third and last part studies the investment behavior of mutual funds. We describe a novel method for dynamic return-based style analysis and analyze fund manager selectivity and timing skill of mutual funds with an asset allocation objective.

M3 - Doctoral Thesis

SN - 9096681273

T3 - CentER Dissertation Series

PB - CentER, Center for Economic Research

CY - Tilburg

ER -

Swinkels LAP. Empirical analysis of investment strategies for institutional investors. Tilburg: CentER, Center for Economic Research, 2003. 208 p. (CentER Dissertation Series).