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A Stochastic Discount Factor-Based Approach for Fixed-Income Mutual Fund Performance Evaluation

In: Numerical Methods in Finance

Author

Listed:
  • Mohamed A. Ayadi
  • Lawrence Kryzanowski

Abstract

A general asset pricing framework is used to derive a conditional nonlinear asset pricing kernel that accounts efficiently for time variation in expected returns and risk, and is suitable to perform (un)conditional evaluations of fixed-weight and dynamic investment strategies. The negative abnormal unconditional performance of Canadian fixed-income mutual funds over the period 1985 – 2000 weakly improves with conditioning. The unconditional-based superior performance of larger over smaller funds that weakens with limited conditioning is somewhat alleviated with an expansion of the conditioning set.

Suggested Citation

  • Mohamed A. Ayadi & Lawrence Kryzanowski, 2005. "A Stochastic Discount Factor-Based Approach for Fixed-Income Mutual Fund Performance Evaluation," Springer Books, in: Michèle Breton & Hatem Ben-Ameur (ed.), Numerical Methods in Finance, chapter 0, pages 193-226, Springer.
    • Handle: RePEc:spr:sprchp:978-0-387-25118-9_10
    DOI: 10.1007/0-387-25118-9_10
    as

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