Human capital efficiency, performance, market, and volatility timing of asian equity funds during COVID-19 outbreak
| Autor: | Syed Kumail Abbas Rizvi, Krishna Reddy, Nawazish Mirza, Jamila Abaidi Hasnaoui, Bushra Naqvi |
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| Rok vydání: | 2021 |
| Předmět: |
Information Systems and Management
business.industry Strategy and Management Equity (finance) COVID-19 Stochastic dominance Context (language use) Monetary economics Sortino ratio Human capital Equity funds Human capital efficiency Economics G20 Original Article G10 G11 G01 Business and International Management Volatility (finance) business Financial services Risk management |
| Zdroj: | Journal of Asset Management |
| ISSN: | 1479-179X 1470-8272 |
| DOI: | 10.1057/s41260-021-00228-y |
| Popis: | Despite its relevance for financial services, the impact of human capital efficiency on mutual fund performance has remained unexplored. In this paper, we attempt to explore this gap in the context of the outbreak of COVID-19 that provides us a unique opportunity to assess human capital's importance during economic pressures. We employ data on 2044 equity funds across sixteen COVID-19 affected Asian countries to analyze the performance, market, and volatility timing after sorting these funds as per their human capital efficiency. Our results show that funds with better human capital efficiency outperform their counterparts that rank lower on human capital efficiency. The outperformance as measured by adjusted Sharpe and Sortino’s ratios, Jensen’s alpha, stochastic dominance, market, and volatility timing remained consistent for the pre-COVID period as well as through the outbreak during which the impact of human capital efficiency became even more significant. These findings have important strategic implications for mutual funds. |
| Databáze: | OpenAIRE |
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