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Evaluating Brazilian Stock Mutual Funds with Stochastic Frontiers

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Author Info

  • Andre Santos

    (Department of Economics, Federal University of Santa Catarina)

  • Joao Tusi

    (Department of Economics, Federal University of Santa Catarina)

  • Newton Da Costa Jr

    (Department of Economics, Federal University of Santa Catarina)

  • Sergio Da Silva

    (Department of Economics, Federal University of Santa Catarina)

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File URL: http://128.118.178.162/eps/fin/papers/0510/0510030.pdf
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Bibliographic Info

Paper provided by EconWPA in its series Finance with number 0510030.

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Date of creation: 26 Oct 2005
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Handle: RePEc:wpa:wuwpfi:0510030

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  1. Battese, George E. & Corra, Greg S., 1977. "Estimation Of A Production Frontier Model: With Application To The Pastoral Zone Of Eastern Australia," Australian Journal of Agricultural Economics, Australian Agricultural and Resource Economics Society, vol. 21(03), December.
  2. Elton, Edwin J & Gruber, Martin J & Blake, Christopher R, 1996. "Survivorship Bias and Mutual Fund Performance," Review of Financial Studies, Society for Financial Studies, vol. 9(4), pages 1097-1120.
  3. Annaert, Jan & van den Broeck, Julien & Vander Vennet, Rudi, 2003. "Determinants of mutual fund underperformance: A Bayesian stochastic frontier approach," European Journal of Operational Research, Elsevier, vol. 151(3), pages 617-632, December.
  4. Aigner, Dennis & Lovell, C. A. Knox & Schmidt, Peter, 1977. "Formulation and estimation of stochastic frontier production function models," Journal of Econometrics, Elsevier, vol. 6(1), pages 21-37, July.
  5. William F. Sharpe, 1965. "Mutual Fund Performance," The Journal of Business, University of Chicago Press, vol. 39, pages 119.
  6. Meeusen, Wim & van den Broeck, Julien, 1977. "Efficiency Estimation from Cobb-Douglas Production Functions with Composed Error," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 18(2), pages 435-44, June.
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