The performance of US equity mutual funds

Babalos, Vassilios and Mamatzakis, Emmanuel C. and Matousek, Roman (2015) The performance of US equity mutual funds. Journal of Banking and Finance, 52 . pp. 217-229. ISSN 0378-4266. (doi:https://doi.org/10.1016/j.jbankfin.2014.12.008) (The full text of this publication is not currently available from this repository. You may be able to access a copy if URLs are provided)

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Official URL
http://doi.org/10.1016/j.jbankfin.2014.12.008

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.

Item Type: Article
Uncontrolled keywords: US fund performance; Stochastic frontier analysis; Panel VAR; Risk
Subjects: H Social Sciences > HG Finance
Divisions: Faculties > Social Sciences > Kent Business School
Faculties > Social Sciences > Kent Law School
Depositing User: Roman Matousek
Date Deposited: 23 Jun 2016 21:05 UTC
Last Modified: 24 Jun 2016 10:15 UTC
Resource URI: https://kar.kent.ac.uk/id/eprint/55861 (The current URI for this page, for reference purposes)
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