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Human capital efficiency, performance, market, and volatility timing of asian equity funds during COVID-19 outbreak

Author

Listed:
  • Jamila Abaidi Hasnaoui

    (Excelia Business School)

  • Syed Kumail Abbas Rizvi

    (Lahore University of Management Sciences)

  • Krishna Reddy

    (Toi Ohomai Institute of Technology)

  • Nawazish Mirza

    (Excelia Business School)

  • Bushra Naqvi

    (Lahore University of Management Sciences)

Abstract

Despite its relevance for financial services, the impact of human capital efficiency on mutual fund performance has remained unexplored. In this paper, we attempt to explore this gap in the context of the outbreak of COVID-19 that provides us a unique opportunity to assess human capital's importance during economic pressures. We employ data on 2044 equity funds across sixteen COVID-19 affected Asian countries to analyze the performance, market, and volatility timing after sorting these funds as per their human capital efficiency. Our results show that funds with better human capital efficiency outperform their counterparts that rank lower on human capital efficiency. The outperformance as measured by adjusted Sharpe and Sortino’s ratios, Jensen’s alpha, stochastic dominance, market, and volatility timing remained consistent for the pre-COVID period as well as through the outbreak during which the impact of human capital efficiency became even more significant. These findings have important strategic implications for mutual funds.

Suggested Citation

  • Jamila Abaidi Hasnaoui & Syed Kumail Abbas Rizvi & Krishna Reddy & Nawazish Mirza & Bushra Naqvi, 2021. "Human capital efficiency, performance, market, and volatility timing of asian equity funds during COVID-19 outbreak," Journal of Asset Management, Palgrave Macmillan, vol. 22(5), pages 360-375, September.
    • Handle: RePEc:pal:assmgt:v:22:y:2021:i:5:d:10.1057_s41260-021-00228-y
    DOI: 10.1057/s41260-021-00228-y
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    More about this item

    Keywords

    COVID-19; Equity funds; Human capital efficiency;
    All these keywords.

    JEL classification:

    • G01 - Financial Economics - - General - - - Financial Crises
    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G20 - Financial Economics - - Financial Institutions and Services - - - General

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