Determinants of mutual fund underperformance: A Bayesian stochastic frontier approach
Author
Abstract
Suggested Citation
Download full text from publisher
As the access to this document is restricted, you may want to search for a different version of it.
References listed on IDEAS
- Michael C. Jensen, 1968. "The Performance Of Mutual Funds In The Period 1945–1964," Journal of Finance, American Finance Association, vol. 23(2), pages 389-416, May.
- Grossman, Sanford J & Stiglitz, Joseph E, 1980.
"On the Impossibility of Informationally Efficient Markets,"
American Economic Review, American Economic Association, vol. 70(3), pages 393-408, June.
- Sanford J Grossman & Joseph E Stiglitz, 1997. "On the Impossibility of Informationally Efficient Markets," Levine's Working Paper Archive 1908, David K. Levine.
- S. P. Kothari & Jerold B. Warner, 2001. "Evaluating Mutual Fund Performance," Journal of Finance, American Finance Association, vol. 56(5), pages 1985-2010, October.
- Elton, Edwin J & Gruber, Martin J & Blake, Christopher R, 1996. "Survivorship Bias and Mutual Fund Performance," The Review of Financial Studies, Society for Financial Studies, vol. 9(4), pages 1097-1120.
- Dermine, Jean & Roller, Lars-Hendrik, 1992. "Economies of scale and scope in French mutual funds," Journal of Financial Intermediation, Elsevier, vol. 2(1), pages 83-93, March.
- Brown, Stephen J & Goetzmann, William N, 1995.
"Performance Persistence,"
Journal of Finance, American Finance Association, vol. 50(2), pages 679-698, June.
- William N. Goetzmann & Stephen J. Brown, 2005. "Performance Persistence," Yale School of Management Working Papers ysm451, Yale School of Management.
- Grinblatt, Mark & Titman, Sheridan, 1992. "The Persistence of Mutual Fund Performance," Journal of Finance, American Finance Association, vol. 47(5), pages 1977-1984, December.
- repec:bla:jfinan:v:53:y:1998:i:5:p:1589-1622 is not listed on IDEAS
- Cesari, R. & Panetta, F., 1998.
"Style, Fees and Performance of Italian Equity Funds,"
Papers
325, Banca Italia - Servizio di Studi.
- Riccardo Cesari & Fabio Panetta, 1998. "Style, Fees and Performance of Italian Equity Funds," Temi di discussione (Economic working papers) 325, Bank of Italy, Economic Research and International Relations Area.
- Giavazzi, Francesco & Danthine, Jean-Pierre & von Thadden, Ernst-Ludwig, 2000.
"European Financial Markets After EMU: A First Assessment,"
CEPR Discussion Papers
2413, C.E.P.R. Discussion Papers.
- Jean-Pierre Danthine & Francesco Giavazzi & Ernst-Ludwig von Thadden, 2000. "European Financial Markets After EMU: A First Assessment," NBER Working Papers 8044, National Bureau of Economic Research, Inc.
- Jean-Pierre DANTHINE & Francesco GIAVAZZI & Ernst-Ludwig VON THADDEN, 2000. "European Financial Markets After EMU: A First Assessment," Cahiers de Recherches Economiques du Département d'économie 00.03, Université de Lausanne, Faculté des HEC, Département d’économie, revised May 2000.
- Jean-Pierre DANTHINE & Francesco Giavazzi & Ernst-Ludwig von Thadden, 2000. "European Financial Markets After EMU: A First Assessment," FAME Research Paper Series rp13, International Center for Financial Asset Management and Engineering.
- Droms, William G. & Walker, David A., 1996. "Mutual fund investment performance," The Quarterly Review of Economics and Finance, Elsevier, vol. 36(3), pages 347-363.
- 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 435-444, June.
- Fama, Eugene F, 1991. "Efficient Capital Markets: II," Journal of Finance, American Finance Association, vol. 46(5), pages 1575-1617, December.
- Richard A. Ippolito, 1989. "Efficiency with Costly Information: A Study of Mutual Fund Performance, 1965–1984," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 104(1), pages 1-23.
- Detzler, Miranda Lam & Wiggins, James B, 1997. "The Performance of Actively Managed International Mutual Funds," Review of Quantitative Finance and Accounting, Springer, vol. 8(3), pages 291-313, May.
- van den Broeck, Julien & Koop, Gary & Osiewalski, Jacek & Steel, Mark F. J., 1994.
"Stochastic frontier models : A Bayesian perspective,"
Journal of Econometrics, Elsevier, vol. 61(2), pages 273-303, April.
- Koop, Gary & Osiewalski, Jacek & Steel, Mark F.J. & Broeck, Julien Van den, 1992. "Stochastic frontier models: a bayesian perspective," UC3M Working papers. Economics 2823, Universidad Carlos III de Madrid. Departamento de EconomÃa.
- Carl Ackermann & Richard McEnally & David Ravenscraft, 1999. "The Performance of Hedge Funds: Risk, Return, and Incentives," Journal of Finance, American Finance Association, vol. 54(3), pages 833-874, June.
- Cai, Jun & Chan, K C & Yamada, Takeshi, 1997. "The Performance of Japanese Mutual Funds," The Review of Financial Studies, Society for Financial Studies, vol. 10(2), pages 237-273.
- Brown, Stephen J, et al, 1992. "Survivorship Bias in Performance Studies," The Review of Financial Studies, Society for Financial Studies, vol. 5(4), pages 553-580.
- Fama, Eugene F, 1970. "Efficient Capital Markets: A Review of Theory and Empirical Work," Journal of Finance, American Finance Association, vol. 25(2), pages 383-417, May.
- Guy, James R F, 1978. "An Examination of the Effects of International Diversification from the British Viewpoint on Both Hypothetical and Real Portfolios," Journal of Finance, American Finance Association, vol. 33(5), pages 1425-1438, December.
- Winkler, Robert L., 1989. "Combining forecasts: A philosophical basis and some current issues," International Journal of Forecasting, Elsevier, vol. 5(4), pages 605-609.
- Fama, Eugene F & French, Kenneth R, 1992. "The Cross-Section of Expected Stock Returns," Journal of Finance, American Finance Association, vol. 47(2), pages 427-465, June.
- David Blake & Allan Timmermann, 1998. "Mutual Fund Performance: Evidence from the UK," Review of Finance, European Finance Association, vol. 2(1), pages 57-77.
- William G. Droms & David A. Walker, 1994. "Investment Performance Of International Mutual Funds," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 17(1), pages 1-14, March.
- Elton, Edwin J, et al, 1993. "Efficiency with Costly Information: A Reinterpretation of Evidence from Managed Portfolios," The Review of Financial Studies, Society for Financial Studies, vol. 6(1), pages 1-22.
- Carhart, Mark M, 1997. "On Persistence in Mutual Fund Performance," Journal of Finance, American Finance Association, vol. 52(1), pages 57-82, March.
- Malkiel, Burton G, 1995. "Returns from Investing in Equity Mutual Funds 1971 to 1991," Journal of Finance, American Finance Association, vol. 50(2), pages 549-572, June.
- Christopherson, Jon A & Ferson, Wayne E & Glassman, Debra A, 1998.
"Conditioning Manager Alphas on Economic Information: Another Look at the Persistence of Performance,"
The Review of Financial Studies, Society for Financial Studies, vol. 11(1), pages 111-142.
- Jon A. Christopherson & Wayne E. Ferson & Debra A. Glassman, 1996. "Conditioning Manager Alphas on Economic Information: Another Look at the Persistence of Performance," NBER Working Papers 5830, National Bureau of Economic Research, Inc.
- Robert N. McCauley & William R. White, 1997. "The Euro and European financial markets," BIS Working Papers 41, Bank for International Settlements.
- 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.
- William F. Sharpe, 1964. "Capital Asset Prices: A Theory Of Market Equilibrium Under Conditions Of Risk," Journal of Finance, American Finance Association, vol. 19(3), pages 425-442, September.
- Hendricks, Darryll & Patel, Jayendu & Zeckhauser, Richard, 1993. "Hot Hands in Mutual Funds: Short-Run Persistence of Relative Performance, 1974-1988," Journal of Finance, American Finance Association, vol. 48(1), pages 93-130, March.
- 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.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Loriana Pelizzon & Roberto Casarin & Andrea Piva, 2008.
"Italian Equity Funds: Efficiency and Performance Persistence,"
Working Papers
2008_12, Department of Economics, University of Venice "Ca' Foscari".
- Roberto Casarin & Loriana Pelizzon & Andrea Piva, 2008. "Italian Equity Funds: Efficiency and Performance Persistence," Working Papers 0817, University of Brescia, Department of Economics.
- Keith Cuthbertson & Dirk Nitzsche & Niall O'Sullivan, 2010. "Mutual Fund Performance: Measurement and Evidence," Financial Markets, Institutions & Instruments, John Wiley & Sons, vol. 19(2), pages 95-187, May.
- Dong‐Hyun Ahn & H. Henry Cao & Stéphane Chrétien, 2009. "Portfolio Performance Measurement: a No Arbitrage Bounds Approach," European Financial Management, European Financial Management Association, vol. 15(2), pages 298-339, March.
- Capocci, Daniel & Hubner, Georges, 2004.
"Analysis of hedge fund performance,"
Journal of Empirical Finance, Elsevier, vol. 11(1), pages 55-89, January.
- Daniel Capocci, 2002. "An Analysis of Hedge Fund Performance," Finance 0210001, University Library of Munich, Germany.
- Fernando Rubio, 2005. "Eficiencia De Mercado, Administracion De Carteras De Fondos Y Behavioural Finance," Finance 0503028, University Library of Munich, Germany, revised 23 Jul 2005.
- Martin Gold, 2010. "Fiduciary Finance," Books, Edward Elgar Publishing, number 13813.
- Basu, Anup K. & Huang-Jones, Jason, 2015. "The performance of diversified emerging market equity funds," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 35(C), pages 116-131.
- Andrew Clare & Mariana Clare, 2019. "An examination of ex ante fund performance: identifying indicators of future performance," Journal of Asset Management, Palgrave Macmillan, vol. 20(3), pages 175-195, May.
- Fletcher, Jonathan & Forbes, David, 2002. "An exploration of the persistence of UK unit trust performance," Journal of Empirical Finance, Elsevier, vol. 9(5), pages 475-493, December.
- Deaves, Richard, 2004. "Data-conditioning biases, performance, persistence and flows: The case of Canadian equity funds," Journal of Banking & Finance, Elsevier, vol. 28(3), pages 673-694, March.
- Ferson, Wayne E., 2013. "Investment Performance: A Review and Synthesis," Handbook of the Economics of Finance, in: G.M. Constantinides & M. Harris & R. M. Stulz (ed.), Handbook of the Economics of Finance, volume 2, chapter 0, pages 969-1010, Elsevier.
- Christiane Goodfellow & Dirk Schiereck & Steffen Wippler, 2013. "Are behavioural finance equity funds a superior investment? A note on fund performance and market efficiency," Journal of Asset Management, Palgrave Macmillan, vol. 14(2), pages 111-119, April.
- Ana C. DÃaz†Mendoza & Germán López†Espinosa & Miguel A. MartÃnez, 2014. "The Efficiency of Performance†Based Fee Funds," European Financial Management, European Financial Management Association, vol. 20(4), pages 825-855, September.
- Gao, Jun & O’Sullivan, Niall & Sherman, Meadhbh, 2017. "Performance persistence in Chinese securities investment funds," Research in International Business and Finance, Elsevier, vol. 42(C), pages 1467-1477.
- Elton, Edwin J. & Gruber, Martin J., 2013. "Mutual Funds," Handbook of the Economics of Finance, in: G.M. Constantinides & M. Harris & R. M. Stulz (ed.), Handbook of the Economics of Finance, volume 2, chapter 0, pages 1011-1061, Elsevier.
- Veeravel. V & A. Balakrishnan, 2023. "Persistence of Large-Cap Equity Funds performance, market timing ability, and selectivity: evidence from India," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 30(1), pages 37-48, March.
- Keith Cuthbertson & Dirk Nitzsche & Niall O' Sullivan, 2004. "UK Mutual Fund Performance: Genuine Stock-Picking Ability or Luck," Money Macro and Finance (MMF) Research Group Conference 2004 55, Money Macro and Finance Research Group.
- Luis Vicente & Luis Ferruz, 2005. "Performance persistence in Spanish equity funds," Applied Financial Economics, Taylor & Francis Journals, vol. 15(18), pages 1305-1313.
- Miguel A. Ferreira & Aneel Keswani & António F. Miguel & Sofia B. Ramos, 2013.
"The Determinants of Mutual Fund Performance: A Cross-Country Study,"
Review of Finance, European Finance Association, vol. 17(2), pages 483-525.
- Miguel A. Ferreira & António F. Miguel & Sofia Ramos, 2006. "The Determinants of Mutual Fund Performance: A Cross-Country Study," Swiss Finance Institute Research Paper Series 06-31, Swiss Finance Institute.
- Amporn SOONGSWANG & Yosawee SANOHDONTREE, 2011. "Equity Mutual Fund: Performances, Persistence and Fund Rankings," Journal of Knowledge Management, Economics and Information Technology, ScientificPapers.org, vol. 1(6), pages 1-27, October.
Corrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:ejores:v:151:y:2003:i:3:p:617-632. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/locate/eor .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.