Evaluating Brazilian Stock Mutual Funds with Stochastic Frontiers

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Evaluating Brazilian Stock Mutual Funds with Stochastic Frontiers

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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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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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M - Business Administration and Business Economics; Marketing; Accounting

This paper has been announced in the following NEP Reports:

NEP-ALL-2005-10-29 (All new papers)
NEP-FMK-2005-10-29 (Financial Markets)

References listed on IDEAS
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Elton, Edwin J & Gruber, Martin J & Blake, Christopher R, 1996. "Survivorship Bias and Mutual Fund Performance," Review of Financial Studies, Oxford University Press for Society for Financial Studies, vol. 9(4), pages 1097-1120. [Downloadable!] (restricted)
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. [Downloadable!]
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. [Downloadable!] (restricted)
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. [Downloadable!] (restricted)
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. [Downloadable!] (restricted)
William F. Sharpe, 1965. "Mutual Fund Performance," Journal of Business, University of Chicago Press, vol. 39, pages 119. [Downloadable!]

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