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Determinants of mutual fund underperformance: A Bayesian stochastic frontier approach

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  • Annaert, Jan
  • van den Broeck, Julien
  • Vander Vennet, Rudi

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Bibliographic Info

Article provided by Elsevier in its journal European Journal of Operational Research.

Volume (Year): 151 (2003)
Issue (Month): 3 (December)
Pages: 617-632

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Handle: RePEc:eee:ejores:v:151:y:2003:i:3:p:617-632

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References

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  1. William F. Sharpe, 1964. "Capital Asset Prices: A Theory Of Market Equilibrium Under Conditions Of Risk," Journal of Finance, American Finance Association, vol. 19(3), pages 425-442, 09.
  2. Fama, Eugene F & French, Kenneth R, 1992. " The Cross-Section of Expected Stock Returns," Journal of Finance, American Finance Association, vol. 47(2), pages 427-65, June.
  3. Erik R. Sirri & Peter Tufano, 1998. "Costly Search and Mutual Fund Flows," Journal of Finance, American Finance Association, vol. 53(5), pages 1589-1622, October.
  4. Grossman, Sanford J & Stiglitz, Joseph E, 1980. "On the Impossibility of Informationally Efficient Markets," American Economic Review, American Economic Association, vol. 70(3), pages 393-408, June.
  5. Jean-Pierre DANTHINE & Francesco GIAVAZZI & Ernst-Ludwig VON THADDEN, 2000. "European Financial Markets After EMU: A First Assessment," Cahiers de Recherches Economiques du Département d'Econométrie et d'Economie politique (DEEP), Université de Lausanne, Faculté des HEC, DEEP 00.03, Université de Lausanne, Faculté des HEC, DEEP, revised May 2000.
  6. Dermine, Jean & Roller, Lars-Hendrik, 1992. "Economies of scale and scope in French mutual funds," Journal of Financial Intermediation, Elsevier, Elsevier, vol. 2(1), pages 83-93, March.
  7. Droms, William G & Walker, David A, 1994. "Investment Performance of International Mutual Funds," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 17(1), pages 1-14, Spring.
  8. Robert N. McCauley & William R. White, 1997. "The Euro and European financial markets," BIS Working Papers 41, Bank for International Settlements.
  9. S.P. Kothari, 2001. "Evaluating Mutual Fund Performance," Journal of Finance, American Finance Association, vol. 56(5), pages 1985-2010, October.
  10. Cesari, R. & Panetta, F., 1998. "Style, Fees and Performance of Italian Equity Funds," Papers, Banca Italia - Servizio di Studi 325, Banca Italia - Servizio di Studi.
  11. Brown, Stephen J, et al, 1992. "Survivorship Bias in Performance Studies," Review of Financial Studies, Society for Financial Studies, vol. 5(4), pages 553-80.
  12. Jon A. Christopherson & Wayne E. Ferson & Debra A. Glassman, 1996. "Conditioning Manager Alphas on Economic Information: Another Look at the Persistence of Performance," NBER Working Papers 5830, National Bureau of Economic Research, Inc.
  13. Elton, Edwin J, et al, 1993. "Efficiency with Costly Information: A Reinterpretation of Evidence from Managed Portfolios," Review of Financial Studies, Society for Financial Studies, vol. 6(1), pages 1-22.
  14. Brown, Stephen J & Goetzmann, William N, 1995. " Performance Persistence," Journal of Finance, American Finance Association, vol. 50(2), pages 679-98, June.
  15. Hendricks, Darryll & Patel, Jayendu & Zeckhauser, Richard, 1993. " Hot Hands in Mutual Funds: Short-Run Persistence of Relative Performance, 1974-1988," Journal of Finance, American Finance Association, vol. 48(1), pages 93-130, March.
  16. Ippolito, Richard A, 1989. "Efficiency with Costly Information: A Study of Mutual Fund Performance, 1965-1984," The Quarterly Journal of Economics, MIT Press, MIT Press, vol. 104(1), pages 1-23, February.
  17. Fama, Eugene F. & French, Kenneth R., 1993. "Common risk factors in the returns on stocks and bonds," Journal of Financial Economics, Elsevier, Elsevier, vol. 33(1), pages 3-56, February.
  18. Droms, William G. & Walker, David A., 1996. "Mutual fund investment performance," The Quarterly Review of Economics and Finance, Elsevier, Elsevier, vol. 36(3), pages 347-363.
  19. Carl Ackermann & Richard McEnally & David Ravenscraft, 1999. "The Performance of Hedge Funds: Risk, Return, and Incentives," Journal of Finance, American Finance Association, vol. 54(3), pages 833-874, 06.
  20. Winkler, Robert L., 1989. "Combining forecasts: A philosophical basis and some current issues," International Journal of Forecasting, Elsevier, Elsevier, vol. 5(4), pages 605-609.
  21. van den Broeck, Julien & Koop, Gary & Osiewalski, Jacek & Steel, Mark F. J., 1994. "Stochastic frontier models : A Bayesian perspective," Journal of Econometrics, Elsevier, vol. 61(2), pages 273-303, April.
  22. Fama, Eugene F, 1970. "Efficient Capital Markets: A Review of Theory and Empirical Work," Journal of Finance, American Finance Association, vol. 25(2), pages 383-417, May.
  23. Detzler, Miranda Lam & Wiggins, James B, 1997. " The Performance of Actively Managed International Mutual Funds," Review of Quantitative Finance and Accounting, Springer, vol. 8(3), pages 291-313, May.
  24. Fama, Eugene F, 1991. " Efficient Capital Markets: II," Journal of Finance, American Finance Association, vol. 46(5), pages 1575-617, December.
  25. Elton, Edwin J & Gruber, Martin J & Blake, Christopher R, 1996. "Survivorship Bias and Mutual Fund Performance," Review of Financial Studies, Society for Financial Studies, vol. 9(4), pages 1097-1120.
  26. Aigner, Dennis & Lovell, C. A. Knox & Schmidt, Peter, 1977. "Formulation and estimation of stochastic frontier production function models," Journal of Econometrics, Elsevier, vol. 6(1), pages 21-37, July.
  27. Michael C. Jensen, 1968. "The Performance Of Mutual Funds In The Period 1945–1964," Journal of Finance, American Finance Association, vol. 23(2), pages 389-416, 05.
  28. Cai, Jun & Chan, K C & Yamada, Takeshi, 1997. "The Performance of Japanese Mutual Funds," Review of Financial Studies, Society for Financial Studies, vol. 10(2), pages 237-73.
  29. Grinblatt, Mark & Titman, Sheridan, 1992. " The Persistence of Mutual Fund Performance," Journal of Finance, American Finance Association, vol. 47(5), pages 1977-84, December.
  30. Meeusen, Wim & van den Broeck, Julien, 1977. "Efficiency Estimation from Cobb-Douglas Production Functions with Composed Error," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 18(2), pages 435-44, June.
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Citations

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Cited by:
  1. Andre Santos & Joao Tusi & Newton Da Costa Jr & Sergio Da Silva, 2005. "Evaluating Brazilian Stock Mutual Funds with Stochastic Frontiers," Finance, EconWPA 0510030, EconWPA.
  2. repec:ebl:ecbull:v:13:y:2005:i:2:p:1-6 is not listed on IDEAS
  3. Amparo Soler Domínguez & Juan Carlos Matallín Sáez & Emili Tortosa-Ausina, 2013. "Does active management add value? New evidence from a quantile regression approach," Working Papers. Serie EC, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie) 2013-02, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
  4. Mercedes Alda & Luis Ferruz, 2012. "The Role of Fees in Pension Fund Performance. Evidence from Spain," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, Charles University Prague, Faculty of Social Sciences, vol. 62(6), pages 518-535, December.
  5. Jin-Li Hu & Tzu-Pu Chang & Ray Chou, 2014. "Market conditions and the effect of diversification on mutual fund performance: should funds be more concentrative under crisis?," Journal of Productivity Analysis, Springer, vol. 41(1), pages 141-151, February.
  6. Amparo Soler Domínguez & Juan Carlos Matallín Sáez & Emili Tortosa Ausina, 2011. "On the informativeness of persistence for mutual funds' performance evaluation using partial frontiers," Working Papers. Serie EC, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie) 2011-08, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
  7. Sergio Da Silva & Newton Da Costa, Jr & Joao Tusi & Andre Santos, 2005. "Evaluating Brazilian mutual funds with stochastic frontiers," Economics Bulletin, AccessEcon, vol. 13(2), pages 1-6.
  8. J. Carlos Matallín-Sáez & Amparo Soler-Domínguez & Emili Tortosa-Ausina, 2013. "Does active management add value? New evidence from a quantile regression," Working Papers, Economics Department, Universitat Jaume I, Castellón (Spain) 2013/01, Economics Department, Universitat Jaume I, Castellón (Spain).

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