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Performance et commission de souscription des fonds mutuels canadiens

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  • To, Minh Chau

    (Groupe de recherche en finance, École des Hautes Études Commerciales)

  • Assoé, Kodjovi Gakpo

    (Groupe de recherche en finance, École des Hautes Études Commerciales)

Abstract

The objective of the present research is to test whether Canadian mutual funds which charge subscription fees achieve higher performance than those which do not, in order to compensate their shareholders for such fees. Indirectly, the research is also a test of the efficiency hypothesis in the mutual funds market. Les frais de commission exigés des investisseurs à l’achat des parts de fonds mutuels se situent entre 0 % et 9 % du montant de l’investissement initial. Ils sont souvent considérés comme un signal de qualité ou de performance. En utilisant des mesures traditionnelles de performance (indices de Jensen, de Sharpe et de Treynor), les tests de différences statistiques de Jobson et Korkie et les données mensuelles de 226 fonds mutuels canadiens couvrant la période janvier 1981 à septembre 1987, cette étude révèle qu'il n’y a aucune relation consistante et ferme entre l’exigence de frais de commission et la performance des fonds mutuels. L’efficience du marché des fonds mutuels est ainsi remise en question puisque les fonds mutuels ayant les frais de commission les plus élevés ne réalisent pas une performance significativement supérieure à celle des fonds sans frais.

Suggested Citation

  • To, Minh Chau & Assoé, Kodjovi Gakpo, 1995. "Performance et commission de souscription des fonds mutuels canadiens," L'Actualité Economique, Société Canadienne de Science Economique, vol. 71(1), pages 27-52, mars.
    • Handle: RePEc:ris:actuec:v:71:y:1995:i:1:p:27-52
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    References listed on IDEAS

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