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Persistence of Large-Cap Equity Funds performance, market timing ability, and selectivity: evidence from India

Author

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  • Veeravel. V

    (Pondicherry University)

  • A. Balakrishnan

    (Pondicherry University)

Abstract

In this paper, we examine the persistence of large-cap equity mutual funds performance, market timing skills, and selectivity of fund managers in India. The study uses monthly data of net assets values (NAV), market capitalization, and price to book ratio. The sample data period is from January 2000 to December 2019. We employ the methodology of Jensen (1968), Fama-French (1993), and Carhart (1997) models for forming portfolios and mimicking portfolios. The results reveal that the benchmark market index outperforms mutual funds. Moreover, there is a little evidence showing that Indian fund managers who consistently work on large-cap equity funds can generate abnormal returns.

Suggested Citation

  • Veeravel. V & A. Balakrishnan, 2023. "Persistence of Large-Cap Equity Funds performance, market timing ability, and selectivity: evidence from India," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 30(1), pages 37-48, March.
    • Handle: RePEc:kap:apfinm:v:30:y:2023:i:1:d:10.1007_s10690-022-09367-7
    DOI: 10.1007/s10690-022-09367-7
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    More about this item

    Keywords

    Performance persistence; Market timing; Stock selection skills; Large cap equity funds; Contingency table;
    All these keywords.

    JEL classification:

    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G23 - Financial Economics - - Financial Institutions and Services - - - Non-bank Financial Institutions; Financial Instruments; Institutional Investors

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