Bachelor of Arts, Wittenberg University, 2019, Business

Actively managed mutual funds are some of the most invested in investment vehicles in the modern era. However, it is a great misunderstanding of their performance relative to their passively managed exchange-traded funds. Actively managed mutual funds fail to outperform their respective benchmarks due to a variety of reasons including market efficiency, timing, and tax consequences. These findings hold true in both the long-term and short-term for equities and fixed income funds. A self-conducted survey was also conducted in order to find the knowledge and opinions of college students on ETFs and mutual funds.

Committee: Rachel Wilson (Advisor); Lawrence Gwinn (Committee Member); Kevin Steidel (Committee Member) Subjects: Finance

Master of Arts, Miami University, 2014, Economics

We use various samples of portfolios (Fama-French portfolios formed on size and book-to-market, Fama-French industry portfolios, and exchange traded funds) as test assets to investigate whether the negative relation between lagged idiosyncratic volatility (IVOL) and future average returns initially documented by Ang, Hodrick, Xing, and Zhang (2006) is due to a missing risk factor. Analytically, we show that if IVOL proxies for a missing risk factor, then the negative relation between IVOL and returns persists at a portfolio level since systematic risk is not eliminated through diversification. However, when we take it to the data, we do not find economically and statistically significant evidence of a relation between lagged IVOL and subsequent average returns. Taken together, our results suggest that the IVOL puzzle is not due to a missing risk factor.

Committee: Haimanot Kassa Ph.D. (Advisor); Tyler Henry Ph.D. (Committee Member); George Davis Ph.D. (Committee Member) Subjects: Economics; Finance