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Does Misclassification of Equity Funds Exist? Evidence from Malaysia

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  • Lau, Wee Yeap
  • Chan, Tze-Haw

Abstract

Applying the style analysis developed by Sharpe (1988, 1992), this paper investigates the classification of equity funds in Malaysia. A methodology for creating purified mutual fund style indexes is used to verify existing classifications. The paper concludes that an improper classification of funds would not only cause mismatch between investors objectives and funds’ profile, it also affects the process of income smoothing in the lifecycle of investors. Besides estimating the possible economic impact due to misclassification, this study highlights the importance of a proper classification system of equity funds in Malaysian context and its implication towards investor’s protection.

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File URL: http://mpra.ub.uni-muenchen.de/2029/
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Bibliographic Info

Paper provided by University Library of Munich, Germany in its series MPRA Paper with number 2029.

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Date of creation: 2004
Date of revision: 2005
Handle: RePEc:pra:mprapa:2029

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Related research

Keywords: Mutual Fund Classification; Style Analysis; Investor’s Protection;

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  1. ter Horst, Jenke R. & Nijman, Theo E. & de Roon, Frans A., 2004. "Evaluating style analysis," Journal of Empirical Finance, Elsevier, vol. 11(1), pages 29-53, January.
  2. Brown, Stephen J. & Goetzmann, William N., 1997. "Mutual fund styles," Journal of Financial Economics, Elsevier, vol. 43(3), pages 373-399, March.
  3. Bruce N. Lehmann & David M. Modest, 1985. "Mutual Fund Performance Evaluation: A Comparison of Benchmarks and Benchmark Comparisons," NBER Working Papers 1721, National Bureau of Economic Research, Inc.
  4. 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.
  5. Carhart, Mark M, 1997. " On Persistence in Mutual Fund Performance," Journal of Finance, American Finance Association, vol. 52(1), pages 57-82, March.
  6. Fama, Eugene F & French, Kenneth R, 1992. " The Cross-Section of Expected Stock Returns," Journal of Finance, American Finance Association, vol. 47(2), pages 427-65, June.
  7. Fama, Eugene F. & French, Kenneth R., 1993. "Common risk factors in the returns on stocks and bonds," Journal of Financial Economics, Elsevier, vol. 33(1), pages 3-56, February.
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