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Non-parametric frontier estimates of mutual fund performance using C- and L-moments: Some specification tests

Listed author(s):
  • Kerstens, Kristiaan
  • Mounir, Amine
  • de Woestyne, Ignace Van

There is a burgeoning literature using non-parametric frontier methods to measure mutual fund performance. These articles measure the relationship between the various characteristics (mainly return information and some costs of ownership) of these specialized financial products to establish a ranking using some efficiency measure. We argue in favor of the use of the shortage function, which is compatible with general investor preferences, and question some of the often maintained hypotheses in this line of research. The empirical part employs a large database of US and European mutual funds to offer extensive tests of the underlying modeling assumptions using various frontier estimators.

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Article provided by Elsevier in its journal Journal of Banking & Finance.

Volume (Year): 35 (2011)
Issue (Month): 5 (May)
Pages: 1190-1201

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Handle: RePEc:eee:jbfina:v:35:y:2011:i:5:p:1190-1201
Contact details of provider: Web page: http://www.elsevier.com/locate/jbf

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