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A statistically robust decomposition of mutual fund performance

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  • Agnesens, Julius
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    Abstract

    Previous decompositions of risk-adjusted mutual fund performance might deliver biased results. In this paper, we provide new reliable insights on the drivers of mutual fund performance by decomposing risk-adjusted performance of U.S. equity mutual funds using the Generalized Calendar Time regression model. According to our results, out of all previously considered fund characteristics, only the negative effect of lagged fund size and the positive effects of lagged performance and lagged family size remain highly significant. Our analysis further suggests that much of the variation in previous empirical results can be attributed to methodological issues.

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    Bibliographic Info

    Article provided by Elsevier in its journal Journal of Banking & Finance.

    Volume (Year): 37 (2013)
    Issue (Month): 10 ()
    Pages: 3867-3877

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    Handle: RePEc:eee:jbfina:v:37:y:2013:i:10:p:3867-3877

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    Web page: http://www.elsevier.com/locate/jbf

    Related research

    Keywords: Mutual fund performance; Cross-sectional dependence; GCT-regression model;

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