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The performance of US equity mutual funds

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  • Babalos, Vassilios
  • Mamatzakis, Emmanuel C.
  • Matousek, Roman

Abstract

The paper examines the performance of US no-load equity mutual funds. Fund performance is derived using stochastic frontier analysis for a flexible functional form. This analysis allows us to derive parametric estimates of efficiency scores for each fund in our sample for the first time in the literature. Our results indicate that US no-load equity funds display varying levels of efficiency over time but also depending on size and on investment style. Robustness analysis reaffirm the efficiency scores remain consistent across different selections of inputs and outputs as well as the underlying distribution of the return. Having estimated each fund’s efficiency in the sample we unveil their underlying dynamics, also with respect to risk and operational characteristics such as flows, assets, and Morningstar star ratings. Panel-VAR estimations reveal that the response of funds’ efficiency to a shock in risk is positive and substantial. Some evidence of reverse causality is also observed. Finally, we extend our analysis to investigate the relationship between funds performance and key covariates across subgroups defined by size.

Suggested Citation

  • 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.
  • Handle: RePEc:eee:jbfina:v:52:y:2015:i:c:p:217-229
    DOI: 10.1016/j.jbankfin.2014.12.008
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    Cited by:

    1. H. Pierre Hsieh & Imen Tebourbi & Wen‐Min Lu & Nai‐Yu Liu, 2020. "Mutual fund performance: The decision quality and capital magnet efficiencies," Managerial and Decision Economics, John Wiley & Sons, Ltd., vol. 41(5), pages 861-872, July.
    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. J. Alsubaiei, Bader & Calice, Giovanni & Vivian, Andrew, 2021. "Sovereign CDS and mutual funds: Global evidence," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 73(C).
    4. Galagedera, Don U.A. & Roshdi, Israfil & Fukuyama, Hirofumi & Zhu, Joe, 2018. "A new network DEA model for mutual fund performance appraisal: An application to U.S. equity mutual funds," Omega, Elsevier, vol. 77(C), pages 168-179.
    5. Amaral, Fatima & Reis, Pedro & Pinto, Pedro, 2019. "Evaluating investment fund performance in Portugal," Business and Economic Horizons (BEH), Prague Development Center (PRADEC), vol. 15(2).
    6. Alsubaiei, Bader Jawid & Calice, Giovanni & Vivian, Andrew, 2024. "How does oil market volatility impact mutual fund performance?," International Review of Economics & Finance, Elsevier, vol. 89(PA), pages 1601-1621.
    7. Deininger, Sebastian & Maringer, Dietmar, 2017. "Channels of Sovereign Risk Spillovers and Investment in the Manufacturing Sector," Working papers 2017/07, Faculty of Business and Economics - University of Basel.
    8. Zhou, Zhongbao & Xiao, Helu & Jin, Qianying & Liu, Wenbin, 2018. "DEA frontier improvement and portfolio rebalancing: An application of China mutual funds on considering sustainability information disclosure," European Journal of Operational Research, Elsevier, vol. 269(1), pages 111-131.

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    More about this item

    Keywords

    US fund performance; Stochastic frontier analysis; Panel VAR; Risk;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G23 - Financial Economics - - Financial Institutions and Services - - - Non-bank Financial Institutions; Financial Instruments; Institutional Investors

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