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A statistically robust decomposition of mutual fund performance

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  • Agnesens, Julius

Abstract

Previous decompositions of risk-adjusted mutual fund performance might deliver biased results. In this paper, we provide new reliable insights on the drivers of mutual fund performance by decomposing risk-adjusted performance of U.S. equity mutual funds using the Generalized Calendar Time regression model. According to our results, out of all previously considered fund characteristics, only the negative effect of lagged fund size and the positive effects of lagged performance and lagged family size remain highly significant. Our analysis further suggests that much of the variation in previous empirical results can be attributed to methodological issues.

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  • Agnesens, Julius, 2013. "A statistically robust decomposition of mutual fund performance," Journal of Banking & Finance, Elsevier, vol. 37(10), pages 3867-3877.
  • Handle: RePEc:eee:jbfina:v:37:y:2013:i:10:p:3867-3877
    DOI: 10.1016/j.jbankfin.2013.07.020
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    References listed on IDEAS

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    1. repec:eco:journ1:2017-05-43 is not listed on IDEAS
    2. 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.
    3. Makni, Rania & Benouda, Olfa & Delhoumi, Ezzedine, 2016. "International evidence on Islamic equity fund characteristics and performance persistence," Review of Financial Economics, Elsevier, vol. 31(C), pages 75-82.

    More about this item

    Keywords

    Mutual fund performance; Cross-sectional dependence; GCT-regression model;

    JEL classification:

    • G23 - Financial Economics - - Financial Institutions and Services - - - Non-bank Financial Institutions; Financial Instruments; Institutional Investors
    • C21 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Cross-Sectional Models; Spatial Models; Treatment Effect Models

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