Evaluation of European Mutual funds Performance
Our primary objective is to suggest some winning styles of investment for investors and proposing some good benchmarking techniques to managers. In other words, we can say that which stock picking skill of manager can better earn before-fee excess return? We applied Carhart's four factor model on 122 Equity Mutual funds domestically invested in France from 1990 to 2009. Our results indicate that measuring risk with use of the established pricing models is indeed problematic because it is suitable to some markets but not for all and more analytical and empirical work is needed to develop universally adapted risk factors.
|Date of creation:||2011|
|Date of revision:|
|Note:||View the original document on HAL open archive server: https://halshs.archives-ouvertes.fr/halshs-00658484|
|Contact details of provider:|| Web page: https://hal.archives-ouvertes.fr/|
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Khorana, Ajay & Servaes, Henri & Tufano, Peter, 2005. "Explaining the size of the mutual fund industry around the world," Journal of Financial Economics, Elsevier, vol. 78(1), pages 145-185, October.
- Ajay Khorana & Henri Servaes & Peter Tufano, 2009. "Mutual Fund Fees Around the World," Review of Financial Studies, Society for Financial Studies, vol. 22(3), pages 1279-1310, March.
- Juan Matallin-Saez, 2007. "Portfolio performance: factors or benchmarks?," Applied Financial Economics, Taylor & Francis Journals, vol. 17(14), pages 1167-1178.
When requesting a correction, please mention this item's handle: RePEc:hal:journl:halshs-00658484. 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: (CCSD)
If references are entirely missing, you can add them using this form.