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Determinants of mutual fund underperformance: A Bayesian stochastic frontier approach

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  • Annaert, Jan
  • van den Broeck, Julien
  • Vander Vennet, Rudi

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  • 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.
  • Handle: RePEc:eee:ejores:v:151:y:2003:i:3:p:617-632
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    References listed on IDEAS

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    3. S.P. Kothari, 2001. "Evaluating Mutual Fund Performance," Journal of Finance, American Finance Association, vol. 56(5), pages 1985-2010, October.
    4. 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.
    5. 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.
    6. Brown, Stephen J & Goetzmann, William N, 1995. " Performance Persistence," Journal of Finance, American Finance Association, vol. 50(2), pages 679-698, June.
    7. Grinblatt, Mark & Titman, Sheridan, 1992. " The Persistence of Mutual Fund Performance," Journal of Finance, American Finance Association, vol. 47(5), pages 1977-1984, December.
    8. Erik R. Sirri & Peter Tufano, 1998. "Costly Search and Mutual Fund Flows," Journal of Finance, American Finance Association, vol. 53(5), pages 1589-1622, October.
    9. Cesari, R. & Panetta, F., 1998. "Style, Fees and Performance of Italian Equity Funds," Papers 325, Banca Italia - Servizio di Studi.
    10. Danthine, Jean-Pierre & Giavazzi, Francesco & von Thadden, Ernst-Ludwig, 2000. "European Financial Markets After EMU: A First Assessment," CEPR Discussion Papers 2413, C.E.P.R. Discussion Papers.
    11. 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.
    12. 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.
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    14. Richard A. Ippolito, 1989. "Efficiency with Costly Information: A Study of Mutual Fund Performance, 1965–1984," The Quarterly Journal of Economics, Oxford University Press, vol. 104(1), pages 1-23.
    15. 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.
    16. 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.
    17. 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.
    18. Cai, Jun & Chan, K C & Yamada, Takeshi, 1997. "The Performance of Japanese Mutual Funds," Review of Financial Studies, Society for Financial Studies, vol. 10(2), pages 237-273.
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    22. 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.
    23. Droms, William G & Walker, David A, 1994. "Investment Performance of International Mutual Funds," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 17(1), pages 1-14, Spring.
    24. Elton, Edwin J, et al, 1993. "Efficiency with Costly Information: A Reinterpretation of Evidence from Managed Portfolios," Review of Financial Studies, Society for Financial Studies, vol. 6(1), pages 1-22.
    25. Christopherson, Jon A & Ferson, Wayne E & Glassman, Debra A, 1998. "Conditioning Manager Alphas on Economic Information: Another Look at the Persistence of Performance," Review of Financial Studies, Society for Financial Studies, vol. 11(1), pages 111-142.
    26. Robert N. McCauley & William R. White, 1997. "The Euro and European financial markets," BIS Working Papers 41, Bank for International Settlements.
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    28. 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.
    29. 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.
    30. 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.
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    1. repec:ebl:ecbull:v:13:y:2005:i:2:p:1-6 is not listed on IDEAS
    2. Galagedera, Don U.A. & Watson, John & Premachandra, I.M. & Chen, Yao, 2016. "Modeling leakage in two-stage DEA models: An application to US mutual fund families," Omega, Elsevier, vol. 61(C), pages 62-77.
    3. Babalos, Vassilios & Mamatzakis, Emmanuel C. & Matousek, Roman, 2015. "The performance of US equity mutual funds," Journal of Banking & Finance, Elsevier, vol. 52(C), pages 217-229.
    4. Amparo Soler Domínguez & Juan Carlos Matallín Sáez & Emili Tortosa-Ausina, 2013. "Does active management add value? New evidence from a quantile regression approach," Working Papers. Serie EC 2013-02, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
    5. Jin-Li Hu & Tzu-Pu Chang & Ray Chou, 2014. "Market conditions and the effect of diversification on mutual fund performance: should funds be more concentrative under crisis?," Journal of Productivity Analysis, Springer, vol. 41(1), pages 141-151, February.
    6. Emmanuel Mamatzakis & Mike Tsionas, 2018. "A Bayesian dynamic model to test persistence in funds' performance," Working Paper series 18-23, Rimini Centre for Economic Analysis.
    7. Andre Santos & Joao Tusi & Newton Da Costa Jr & Sergio Da Silva, 2005. "Evaluating Brazilian Stock Mutual Funds with Stochastic Frontiers," Finance 0510030, EconWPA.
    8. Amparo Soler Domínguez & Juan Carlos Matallín Sáez & Emili Tortosa Ausina, 2011. "On the informativeness of persistence for mutual funds' performance evaluation using partial frontiers," Working Papers. Serie EC 2011-08, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
    9. repec:eee:ejores:v:268:y:2018:i:2:p:653-664 is not listed on IDEAS
    10. Gosse Alserda & Jaap Bikker & Fieke van der Lecq, 2017. "X-efficiency and economies of scale in pension fund administration and investment," DNB Working Papers 547, Netherlands Central Bank, Research Department.
    11. Tsionas, Mike G., 2017. "Microfoundations for stochastic frontiers," European Journal of Operational Research, Elsevier, vol. 258(3), pages 1165-1170.
    12. Sergio Da Silva & Newton Da Costa, Jr & Joao Tusi & Andre Santos, 2005. "Evaluating Brazilian mutual funds with stochastic frontiers," Economics Bulletin, AccessEcon, vol. 13(2), pages 1-6.
    13. Mercedes Alda & Luis Ferruz, 2012. "The Role of Fees in Pension Fund Performance. Evidence from Spain," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 62(6), pages 518-535, December.
    14. Veiga, Helena & Ramos, Sofía B. & Galán, Jorge, 2015. "An analysis of the dynamics of efficiency of mutual funds," DES - Working Papers. Statistics and Econometrics. WS ws1517, Universidad Carlos III de Madrid. Departamento de Estadística.
    15. J. Carlos Matallín-Sáez & Amparo Soler-Domínguez & Emili Tortosa-Ausina, 2013. "Does active management add value? New evidence from a quantile regression," Working Papers 2013/01, Economics Department, Universitat Jaume I, Castellón (Spain).

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