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Mutual Fund Daily Conditional Performance

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  • Frank Coggins
  • Marie-Claude Beaulieu
  • Michel Gendron

Abstract

Abstract The empirical finance literature reveals that conditional models estimated with monthly data generally improve fund performance. Furthermore, it has been shown that using daily instead of monthly returns in an unconditional framework increases the proportion of abnormal performances relative to timing. In this article, we study conditional performance estimated with daily data in a bivariate generalized autoregressive conditional heteroskedasticity (GARCH) framework. Our daily conditional alphas and global performances with GARCH are significantly better than those estimated with other parametrizations and they persist over time. Finally, the proportion of abnormal timing performances diminishes significantly when conditional parametrizations are used. Copyright (c) 2009 The Southern Finance Association and the Southwestern Finance Association.

Suggested Citation

  • Frank Coggins & Marie-Claude Beaulieu & Michel Gendron, 2009. "Mutual Fund Daily Conditional Performance," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 32(2), pages 95-122.
  • Handle: RePEc:bla:jfnres:v:32:y:2009:i:2:p:95-122
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    Cited by:

    1. Oueslati, Abdelmonem & Hammami, Yacine & Jilani, Faouzi, 2014. "The timing ability and global performance of Tunisian mutual fund managers: A multivariate GARCH approach," Research in International Business and Finance, Elsevier, vol. 31(C), pages 57-73.
    2. Herrmann, Ulf & Rohleder, Martin & Scholz, Hendrik, 2016. "Does style-shifting activity predict performance? Evidence from equity mutual funds," The Quarterly Review of Economics and Finance, Elsevier, vol. 59(C), pages 112-130.

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