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New Zealand mutual funds: measuring performance and persistence in performance

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Author Info

  • Rob Bauer
  • Rogér Otten
  • Alireza Tourani Rad

Abstract

The present study investigates the performance of New Zealand mutual funds using a survivorship-bias controlled sample of 143 funds for the period of 1990-2003. Our overall results suggest that New Zealand mutual funds have not been able to provide out-performance. Alphas for equity funds, both domestic and international, are insignificantly different from zero, whereas balanced funds underperform significantly. There is no evidence of timing abilities by the fund managers. In the short term, significant evidence of return persistence for all funds is observed. This persistence, however, is driven by 'icy hands' rather than 'hot hands'. Finally, we find the risk-adjusted performance for equity funds to be positively related to fund size and expense ratio and negatively related to load charges. Copyright The Authors Journal compilation (c) 2006 AFAANZ.

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Bibliographic Info

Article provided by Accounting and Finance Association of Australia and New Zealand in its journal Accounting and Finance.

Volume (Year): 46 (2006)
Issue (Month): 3 ()
Pages: 347-363

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Handle: RePEc:bla:acctfi:v:46:y:2006:i:3:p:347-363

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Cited by:
  1. Chu, Patrick Kuok Kun, 2010. "The price linkages between the equity fund price levels and the stock markets: Evidences from cointegration approach and causality analysis of Hong Kong Mandatory Provident Fund (MPF)," International Review of Financial Analysis, Elsevier, vol. 19(4), pages 281-288, September.
  2. Luis Ferruz & Fernando Muñoz & Maria Vargas, 2010. "Does the size of a fund family matter when choosing an investment strategy? Evidence from spain," Review of Quantitative Finance and Accounting, Springer, vol. 35(3), pages 315-334, October.

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