Mutual fund performance: A market efficiency perspective
| Autor: | Tim Verheyden, Lieven De Moor, Rosanne Vanpée |
|---|---|
| Přispěvatelé: | Business |
| Jazyk: | angličtina |
| Rok vydání: | 2016 |
| Předmět: |
Economics and Econometrics
050208 finance Manager of managers fund Financial economics 05 social sciences Closed-end fund Passive management Index fund Microeconomics Market depth Fund administration Accounting 0502 economics and business Open-end fund Business 050207 economics Finance Investment fund |
| Popis: | This study reconciles existing literature on stock market efficiency and mutual fund performance by developing a framework to test whether fund managers are able to exploit market inefficiencies. We find a positive relationship between alpha and weak-form market efficiency. Most funds are unable to outperform the market systematically, although a few are able to exploit relatively inefficient markets. Top performing funds are characterised by a better management of downside risk in times of market distress, whilst simultaneously exploiting learning effects when markets return to equilibrium. By conditioning fund performance on the state of the underlying market, we propose a conditional alpha ratio, which helps to better understand fund performance and can improve the fund selection process for investors. |
| Databáze: | OpenAIRE |
| Externí odkaz: |
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