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Measuring the Mutual Fund Industry Risk Management and Performance Sustainability - Quantile Regression Model

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  • Joe-Ming Lee

    (Department of Banking and Finance, Tamkang University, New Taipei City, Taiwan, ROC)

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    Abstract

    We apply the Quantile Regression Model to observe the rankcorrelation between bond fund performance and asset,volatility, management fee, Sharpe index and show that fundperformance between volatility as a negative significantrelationship, implied extreme values have been generated riskcoefficient and fund performance change relations. Theextreme value of the display the risk coefficient fundperformance has changed the relationship, show that enhancethe risk coefficient, resulting in lower fund performance, tellsus that the mutual fund industry pursuit of short-term fundperformance through operating the transition risks lever, butcannot afford a long-term test of the market. Finally, werecommend that the mutual fund industry needs to strengthenrisk management professional and pursuit of performanceSustainability.

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    Bibliographic Info

    Article provided by Asian Economic and Social Society in its journal Journal of Asian Business Strategy.

    Volume (Year): 3 (2013)
    Issue (Month): 4 (April)
    Pages: 59-68

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    Handle: RePEc:asi:joabsj:2013:p:59-68

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    Related research

    Keywords: Equity fund; PSTR model; volatility; fund performance;

    References

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    1. Matthew R. Morey & Edward S. O'Neal, 2006. "Window Dressing In Bond Mutual Funds," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 29(3), pages 325-347.
    2. Rodriguez, Juan Carlos, 2007. "Measuring financial contagion: A Copula approach," Journal of Empirical Finance, Elsevier, Elsevier, vol. 14(3), pages 401-423, June.
    3. Ling Hu, 2006. "Dependence patterns across financial markets: a mixed copula approach," Applied Financial Economics, Taylor & Francis Journals, Taylor & Francis Journals, vol. 16(10), pages 717-729.
    4. repec:sae:ecolab:v:16:y:2006:i:2:p:1-2 is not listed on IDEAS
    5. Markus Junker & Alexander Szimayer & Niklas Wagner, 2004. "Nonlinear Term Structure Dependence: Copula Functions, Empirics, and Risk Implications," Econometrics, EconWPA 0401007, EconWPA.
    6. Detzler, Miranda Lam, 1999. "The performance of global bond mutual funds," Journal of Banking & Finance, Elsevier, Elsevier, vol. 23(8), pages 1195-1217, August.
    7. Koenker, Roger W & Bassett, Gilbert, Jr, 1978. "Regression Quantiles," Econometrica, Econometric Society, Econometric Society, vol. 46(1), pages 33-50, January.
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