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Do bank-affiliated funds perform better than the others: the higher moment approach

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  • Woraphon Wattanatorn
  • Sarayut Nathaphan

Abstract

In this study, we examine the difference in mutual fund performance between the bank-related and the non-bank-related mutual funds in emerging markets. We further improve the empirical testing model to match the environment of the high-volatility and high-reward market – the emerging market. Specifically, we introduce co-skewness as an additional important risk factor in this study. Therefore, our model specification matches the non-normality of return distribution in the market. Furthermore, according to the information advantage hypothesis, we provide evidence of the superior market timing ability of the high-performance bank-related fund.

Suggested Citation

  • Woraphon Wattanatorn & Sarayut Nathaphan, 2022. "Do bank-affiliated funds perform better than the others: the higher moment approach," Asia-Pacific Journal of Accounting & Economics, Taylor & Francis Journals, vol. 29(4), pages 1075-1089, July.
    • Handle: RePEc:taf:raaexx:v:29:y:2022:i:4:p:1075-1089
    DOI: 10.1080/16081625.2019.1658528
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