36 research outputs found
Access to Stock Markets for Small and Medium-Sized Growth Firms: The Temporary Success and Ultimate Failure of Germany's Neuer Markt
Further Evidence On Technology and Liquidity Provision: The Blurring of Traditional Definitions
Co2-Emissionen und ihre Wirkungen auf den Finanzplatz Frankfurt am Main (Carbon Risks for the Frankfurt Financial Center)
Registro de casos en disputas de deuda soberana: fundamentos para estrategias legales en arbitramento de derecho internacional de las inversiones (Sovereign Bond Disputes Caseload: Basis for Legal Strategies in International Investment Law Arbitration)
The Perils of Performance Measurement in the German Mutual-Fund Industry
We document a curious feature of the German mutual fund industry. Unlike U.S. mutual funds, funds domiciled in Germany do not necessarily compute their net asset values (NAV) as of market close. Using a sample of German equity funds, we infer each fund's NAV closing time from the best-fit market model using both maximum likelihood and Bayesian estimation. The results of both approaches coincide perfectly and show that all but one of the funds domiciled in Germany report intraday NAVs. We show that using market returns computed at the end of the day instead of the best-fit time, usually leads to misleading inferences about mutual fund performance