Market conditions and the effect of diversification on mutual fund performance: should funds be more concentrative under crisis?
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
- Pollet, Joshua M. & Wilson, Mungo, 2010. "Average correlation and stock market returns," Journal of Financial Economics, Elsevier, vol. 96(3), pages 364-380, June.
- John L. Evans & Stephen H. Archer, 1968. "Diversification And The Reduction Of Dispersion: An Empirical Analysis," Journal of Finance, American Finance Association, vol. 23(5), pages 761-767, December.
- 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.
- S.P. Kothari, 2001. "Evaluating Mutual Fund Performance," Journal of Finance, American Finance Association, vol. 56(5), pages 1985-2010, October.
- Hung-pin Lai & Cliff Huang, 2010. "Likelihood ratio tests for model selection of stochastic frontier models," Journal of Productivity Analysis, Springer, vol. 34(1), pages 3-13, August.
- Yoon K. Choi, 2006. "Relative Portfolio Performance Evaluation and Incentive Structure," The Journal of Business, University of Chicago Press, vol. 79(2), pages 903-922, March.
- Brandouy, Olivier & Briec, Walter & Kerstens, Kristiaan & Van de Woestyne, Ignace, 2010.
"Portfolio performance gauging in discrete time using a Luenberger productivity indicator,"
Journal of Banking & Finance,
Elsevier, vol. 34(8), pages 1899-1910, August.
- Brandouy, Olivier & Briec, Walter & Kerstens, Kristiaan, 2008. "Portfolio performance gauging in discrete time using a Luenberger productivity indicator," Working Papers 2008/60, Hogeschool-Universiteit Brussel, Faculteit Economie en Management.
- O. Brandouy & W. Briec & K. Kerstens & I. Van de Woestyne, 2010. "Portfolio performance gauging in discrete time using a luenberger productivity indicator," Post-Print halshs-00490032, HAL.
- Olivier Brandouy & Walter Briec & Kristiaan Kerstens & Ignace Van de Woestyne, 2008. "Portfolio Performance Gauging in Discrete Time Using a Luenberger Productivity Indicator," Working Papers 2008-ECO-12, IESEG School of Management, revised Oct 2009.
- Andre Santos & Joao Tusi & Newton Da Costa Jr & Sergio Da Silva, 2005. "Evaluating Brazilian Stock Mutual Funds with Stochastic Frontiers," Finance 0510030, University Library of Munich, Germany.
- Statman, Meir, 1987. "How Many Stocks Make a Diversified Portfolio?," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 22(03), pages 353-363, September.
- Marcin Kacperczyk & Clemens Sialm & Lu Zheng, 2005.
"On the Industry Concentration of Actively Managed Equity Mutual Funds,"
Journal of Finance,
American Finance Association, vol. 60(4), pages 1983-2011, August.
- Marcin Kacperczyk & Clemens Sialm & Lu Zheng, 2004. "On the Industry Concentration of Actively Managed Equity Mutual Funds," NBER Working Papers 10770, National Bureau of Economic Research, Inc.
- Ferson, Wayne E & Schadt, Rudi W, 1996. " Measuring Fund Strategy and Performance in Changing Economic Conditions," Journal of Finance, American Finance Association, vol. 51(2), pages 425-461, June.
- Battese, George E. & Coelli, Tim J., 1988. "Prediction of firm-level technical efficiencies with a generalized frontier production function and panel data," Journal of Econometrics, Elsevier, vol. 38(3), pages 387-399, July.
- Cuthbertson, Keith & Nitzsche, Dirk & O'Sullivan, Niall, 2008. "UK mutual fund performance: Skill or luck?," Journal of Empirical Finance, Elsevier, vol. 15(4), pages 613-634, September.
- repec:ebl:ecbull:v:13:y:2005:i:2:p:1-6 is not listed on IDEAS
- Hung-Jen Wang, 2002.
"Heteroscedasticity and Non-Monotonic Efficiency Effects of a Stochastic Frontier Model,"
Journal of Productivity Analysis,
Springer, vol. 18(3), pages 241-253, November.
- Wang, Hung-Jen, 2002. "Heteroscedasticity and non-monotonic efficiency effects of a stochastic frontier model," MPRA Paper 31076, University Library of Munich, Germany.
- 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.
- Joshua M. Pollet & Mungo Wilson, 2008. "How Does Size Affect Mutual Fund Behavior?," Journal of Finance, American Finance Association, vol. 63(6), pages 2941-2969, December.
More about this item
KeywordsDiversification; Market conditions; Mutual funds; Non-monotonic effect; Stochastic frontier; Crisis; C30; G11;
- C30 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - General
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
StatisticsAccess and download statistics
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:kap:jproda:v:41:y:2014:i:1:p:141-151. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Sonal Shukla) or (Rebekah McClure). General contact details of provider: http://www.springer.com .
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 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.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.