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Investigating performance benchmarks in the context of international trusts: Australian evidence

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Author Info
Karen L. Benson
Robert W. Faff

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Abstract

In the context of international funds, investigations have been made of a range of performance models including both domestic and international market index benchmarks and distinguishing selectivity and timing performance. A sample of Australian international equity trusts are examined over the period 1990 to 1999. Generally, findings confirm the widely held belief that funds are unable to time the market and that there is an inverse relationship between market timing and selectivity performance. Importantly however, it is found that the choice of index does have an impact on results, particularly at the individual fund level.

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Publisher Info
Article provided by Taylor and Francis Journals in its journal Applied Financial Economics.

Volume (Year): 14 (2004)
Issue (Month): 9 (June)
Pages: 631-644
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Handle: RePEc:taf:apfiec:v:14:y:2004:i:9:p:631-644

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Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
  1. Hallahan, Terrence A & Faff, Robert W, 2001. "Induced Persistence or Reversals in Fund Performance? The Effect of Survivorship Bias," Applied Financial Economics, Taylor and Francis Journals, vol. 11(2), pages 119-26, April. [Downloadable!] (restricted)
  2. Hallahan, Terrence A. & Faff, Robert W., 1999. "An examination of Australian equity trusts for selectivity and market timing performance," Journal of Multinational Financial Management, Elsevier, vol. 9(3-4), pages 387-402, November. [Downloadable!] (restricted)
  3. Grinblatt, Mark & Titman, Sheridan D, 1989. "Mutual Fund Performance: An Analysis of Quarterly Portfolio Holdings," Journal of Business, University of Chicago Press, vol. 62(3), pages 393-416, July. [Downloadable!] (restricted)
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  4. Blake, Christopher R & Elton, Edwin J & Gruber, Martin J, 1993. "The Performance of Bond Mutual Funds," Journal of Business, University of Chicago Press, vol. 66(3), pages 370-403, July.
  5. Bruce N. Lehmann & David M. Modest, 1987. "Mutual Fund Performance Evaluation: A Comparison of Benchmarks and Benchmark Comparisons," NBER Working Papers 1721, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  6. William N. Goetzmann & Stephen J. Brown, 2005. "Performance Persistence," Yale School of Management Working Papers ysm451, Yale School of Management. [Downloadable!]
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  7. Henriksson, Roy D & Merton, Robert C, 1981. "On Market Timing and Investment Performance. II. Statistical Procedures for Evaluating Forecasting Skills," Journal of Business, University of Chicago Press, vol. 54(4), pages 513-33, October. [Downloadable!] (restricted)
  8. Lehmann, Bruce N & Modest, David M, 1987. " Mutual Fund Performance Evaluation: A Comparison of Benchmarks and Benchmark Comparisons," Journal of Finance, American Finance Association, vol. 42(2), pages 233-65, June. [Downloadable!] (restricted)
  9. Chang, Eric C & Lewellen, Wilbur G, 1984. "Market Timing and Mutual Fund Investment Performance," Journal of Business, University of Chicago Press, vol. 57(1), pages 57-72, January. [Downloadable!] (restricted)
  10. Gregory Connor and Robert A. Korajczyk., 1988. "The Attributes, Behavior and Performance of U.S. Mutual Funds," Research Program in Finance Working Papers 181, University of California at Berkeley.
  11. Cumby, Robert E & Glen, Jack D, 1990. " Evaluating the Performance of International Mutual Funds," Journal of Finance, American Finance Association, vol. 45(2), pages 497-521, June. [Downloadable!] (restricted)
  12. Chang, Eric & Eun, Cheol S. & Kolodny, Richard, 1995. "International diversification through closed-end country funds," Journal of Banking & Finance, Elsevier, vol. 19(7), pages 1237-1263, October. [Downloadable!] (restricted)
  13. Jagannathan, Ravi & Korajczyk, Robert A, 1986. "Assessing the Market Timing Performance of Managed Portfolios," Journal of Business, University of Chicago Press, vol. 59(2), pages 217-35, April. [Downloadable!] (restricted)
  14. Coggin, T Daniel & Fabozzi, Frank J & Rahman, Shafiqur, 1993. " The Investment Performance of U.S. Equity Pension Fund Managers: An Empirical Investigation," Journal of Finance, American Finance Association, vol. 48(3), pages 1039-55, July. [Downloadable!] (restricted)
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