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Danish Mutual Fund Performance - Selectivity, Market Timing and Persistence

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  • Christensen, Michael

    ()
    (Department of Accounting, Aarhus School of Business)

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    Abstract

    Funds under management by Danish mutual funds have increased by 25% annually during the last 10 years and measured per capita Denmark has the third largest mutual fund industry in Europe. This paper provides the first independent performance analysis of Danish mutual funds. We analyse selectivity applying a single index model and a multi-factor model, respectively. Furthermore, we analyse the timing ability of the Danish mutual funds pursuing both the quadratic regressions of Treynor and Mazuy (1966) and the option approach suggested by Henriksson and Merton (1981). Finally, we analyse performance persistence using parametric as well as non-parametric methodologies. We conclude that in general Danish mutual funds perform neutrally, returns are non-persistent and Danish mutual funds have no timing ability.

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    Bibliographic Info

    Paper provided by University of Aarhus, Aarhus School of Business, Department of Business Studies in its series Finance Research Group Working Papers with number F-2005-01.

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    Length: 39 pages
    Date of creation: 23 Sep 2005
    Date of revision:
    Handle: RePEc:hhb:aarbfi:2005-01

    Contact details of provider:
    Postal: The Aarhus School of Business, Fuglesangs Allé 4, DK-8210 Aarhus V, Denmark
    Fax: + 45 86 15 19 43
    Web page: http://www.asb.dk/about/departments/bs.aspx
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    Related research

    Keywords: Mutual funds; Performance evaluation; Market timing; Performance persistence;

    References

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    Cited by:
    1. Luis Ferruz & Fernando Muñoz & Maria Vargas, 2010. "Does the size of a fund family matter when choosing an investment strategy? Evidence from spain," Review of Quantitative Finance and Accounting, Springer, vol. 35(3), pages 315-334, October.

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