Does Misclassification of Equity Funds Exist? Evidence from Malaysia
Author
Abstract
Suggested Citation
Download full text from publisher
References listed on IDEAS
- ter Horst, Jenke R. & Nijman, Theo E. & de Roon, Frans A., 2004.
"Evaluating style analysis,"
Journal of Empirical Finance, Elsevier, vol. 11(1), pages 29-53, January.
- de Roon, F.A. & Nijman, T.E. & Ter Horst, J.R., 2000. "Evaluating Style Analysis," Discussion Paper 2000-64, Tilburg University, Center for Economic Research.
- Nijman, Theo E & ter Horst, Jenke & de Roon, Frans, 2002. "Evaluating Style Analysis," CEPR Discussion Papers 3181, C.E.P.R. Discussion Papers.
- Brown, Stephen J. & Goetzmann, William N., 1997.
"Mutual fund styles,"
Journal of Financial Economics, Elsevier, vol. 43(3), pages 373-399, March.
- William N. Goetzmann & Stephen J. Brown, 1998. "Mutual Fund Styles," Yale School of Management Working Papers ysm40, Yale School of Management.
- Leong Kai Hin & Aw Mee Wah, 1997. "Measuring Unit Trust Fund Performance Using Different Benchmarks," Capital Markets Review, Malaysian Finance Association, vol. 5(2), pages 27-44.
- Bruce N. Lehmann & David M. Modest, 1985. "Mutual Fund Performance Evaluation: A Comparison of Benchmarks and Benchmark Comparisons," NBER Working Papers 1721, National Bureau of Economic Research, Inc.
- Ter Horst, J.R. & Nijman, T.E. & de Roon, F.A., 2004. "Evaluating style analysis," Other publications TiSEM 8a501733-7a06-4399-8a43-0, Tilburg University, School of Economics and Management.
- Fama, Eugene F & French, Kenneth R, 1992. "The Cross-Section of Expected Stock Returns," Journal of Finance, American Finance Association, vol. 47(2), pages 427-465, June.
- Lehmann, Bruce N & Modest, David M, 1987. "Mutual Fund Performance Evaluation: A Comparison of Benchmarks and Benchmark Comparisons," Journal of Finance, American Finance Association, vol. 42(2), pages 233-265, June.
- Carhart, Mark M, 1997. "On Persistence in Mutual Fund Performance," Journal of Finance, American Finance Association, vol. 52(1), pages 57-82, March.
- Fama, Eugene F. & French, Kenneth R., 1993. "Common risk factors in the returns on stocks and bonds," Journal of Financial Economics, Elsevier, vol. 33(1), pages 3-56, February.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Joanna Olbryś, 2010. "Three-factor market-timing models with Fama and French’s spread variables," Operations Research and Decisions, Wroclaw University of Science and Technology, Faculty of Management, vol. 20(2), pages 91-106.
- Roberto Casarin & Andrea Piva & Loriana Pelizzon, 2008.
"Italian Equity Funds: Efficiency and Performance Persistence,"
The IUP Journal of Financial Economics, IUP Publications, vol. 0(1), pages 7-28, March.
- Loriana Pelizzon & Roberto Casarin & Andrea Piva, 2008. "Italian Equity Funds: Efficiency and Performance Persistence," Working Papers 2008_12, Department of Economics, University of Venice "Ca' Foscari".
- Roberto Casarin & Loriana Pelizzon & Andrea Piva, 2008. "Italian Equity Funds: Efficiency and Performance Persistence," Working Papers 0817, University of Brescia, Department of Economics.
- Francesco Lisi, 2011. "Dicing with the market: randomized procedures for evaluation of mutual funds," Quantitative Finance, Taylor & Francis Journals, vol. 11(2), pages 163-172.
- Prather, Larry J. & Middleton, Karen L., 2006. "Timing and selectivity of mutual fund managers: An empirical test of the behavioral decision-making theory," Journal of Empirical Finance, Elsevier, vol. 13(3), pages 249-273, June.
- Capocci, Daniel & Hubner, Georges, 2004.
"Analysis of hedge fund performance,"
Journal of Empirical Finance, Elsevier, vol. 11(1), pages 55-89, January.
- Daniel Capocci, 2002. "An Analysis of Hedge Fund Performance," Finance 0210001, University Library of Munich, Germany.
- Luis Vicente & Luis Ferruz, 2005. "Performance persistence in Spanish equity funds," Applied Financial Economics, Taylor & Francis Journals, vol. 15(18), pages 1305-1313.
- Berkowitz, Michael K. & Qiu, Jiaping, 2003.
"Ownership, risk and performance of mutual fund management companies,"
Journal of Economics and Business, Elsevier, vol. 55(2), pages 109-134.
- Michael K. Berkowitz & Jiaping Qiu, 2001. "Ownership, Risk and Performance of Mutual Fund Management Companies," Working Papers berk-01-01, University of Toronto, Department of Economics.
- Babalos, Vassilios & Caporale, Guglielmo Maria & Philippas, Nikolaos, 2012.
"Efficiency evaluation of Greek equity funds,"
Research in International Business and Finance, Elsevier, vol. 26(2), pages 317-333.
- Vassilios, Babalos & Guglielmo-Maria, Caporale & Philippas, Nikolaos, 2012. "Efficiency evaluation of Greek equity funds," MPRA Paper 37954, University Library of Munich, Germany.
- Geetesh Bhardwaj & Gary B. Gorton & K. Geert Rouwenhorst, 2008. "Fooling Some of the People All of the Time: The Inefficient Performance and Persistence of Commodity Trading Advisors," NBER Working Papers 14424, National Bureau of Economic Research, Inc.
- Harry Mamaysky & Matthew Spiegel & Hong Zhang, 2008.
"Estimating the Dynamics of Mutual Fund Alphas and Betas,"
The Review of Financial Studies, Society for Financial Studies, vol. 21(1), pages 233-264, January.
- Matthew Spiegel & Harry Mamaysky & Hong Zhang, 2005. "Estimating the Dynamics of Mutual Fund Alphas and Betas," Yale School of Management Working Papers ysm353, Yale School of Management, revised 01 Apr 2005.
- Lubos Pastor & Robert F. Stambaugh, "undated".
"Evaluating and Investing in Equity Mutual Funds,"
CRSP working papers
516, Center for Research in Security Prices, Graduate School of Business, University of Chicago.
- Lubos Pastor & Robert F. Stambaugh, 2000. "Evaluating and Investing in Equity Mutual Funds," NBER Working Papers 7779, National Bureau of Economic Research, Inc.
- Lubos Pastor & Robert F. Stambaugh, "undated". "Evaluating and Investing in Equity Mutual Funds," Rodney L. White Center for Financial Research Working Papers 10-00, Wharton School Rodney L. White Center for Financial Research.
- Sudipta Das, 2019. "Asset Pricing Test Using Alternative Sets of Portfolios: Evidence from India," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 26(3), pages 339-354, September.
- Jonathan Fletcher & Andrew Marshall, 2014. "Investor Heterogeneity and the Cross-section of U.K. Investment Trust Performance," Journal of Financial Services Research, Springer;Western Finance Association, vol. 45(1), pages 67-89, February.
- Avramov, Doron & Wermers, Russ, 2006.
"Investing in mutual funds when returns are predictable,"
Journal of Financial Economics, Elsevier, vol. 81(2), pages 339-377, August.
- Avramov, Doron & Wermers, Russ, 2005. "Investing in mutual funds when returns are predictable," CFR Working Papers 05-13, University of Cologne, Centre for Financial Research (CFR).
- Klaas P. Baks & Andrew Metrick & Jessica Wachter, 2001.
"Should Investors Avoid All Actively Managed Mutual Funds? A Study in Bayesian Performance Evaluation,"
Journal of Finance, American Finance Association, vol. 56(1), pages 45-85, February.
- Klaas Baks & Andrew Metrick & Jessica Wachter, "undated". "Should Investors Avoid All Actively Managed Mutual Funds? A Study in Bayesian Performance Evaluation," Rodney L. White Center for Financial Research Working Papers 18-99, Wharton School Rodney L. White Center for Financial Research.
- Carmen-Pilar Mart¨ª-Ballester, 2012. "A Comparative Analysis of the Performance of Collective Investment Institutions," Review of Economics & Finance, Better Advances Press, Canada, vol. 2, pages 43-52, May.
- Andrew Mason & Frank McGroarty & Steve Thomas, 2012. "Style analysis for diversified US equity funds," Journal of Asset Management, Palgrave Macmillan, vol. 13(3), pages 170-185, June.
- Renneboog, L.D.R. & Ter Horst, J.R. & Zhang, C., 2007.
"Socially Responsible Investments : Methodology, Risk Exposure and Performance,"
Other publications TiSEM
1ff75080-22db-4909-9f13-a, Tilburg University, School of Economics and Management.
- Renneboog, L.D.R. & Ter Horst, J.R. & Zhang, C., 2007. "Socially Responsible Investments : Methodology, Risk Exposure and Performance," Discussion Paper 2007-013, Tilburg University, Tilburg Law and Economic Center.
- Laurent Barras & Olivier Scaillet & Russ Wermers, 2010.
"False Discoveries in Mutual Fund Performance: Measuring Luck in Estimated Alphas,"
Journal of Finance, American Finance Association, vol. 65(1), pages 179-216, February.
- Olivier Scaillet & Laurent Barras & Russell R. Wermers, 2005. "False Discoveries in Mutual Fund Performance: Measuring Luck in Estimated Alphas," Working Papers CEB 05-014.RS, ULB -- Universite Libre de Bruxelles.
- Barras, Laurent & Scaillet, Olivier & Wermers, Russ, 2009. "False discoveries in mutual fund performance: Measuring luck in estimated alphas," CFR Working Papers 06-02, University of Cologne, Centre for Financial Research (CFR).
- Laurent BARRAS & Olivier SCAILLET & Russ WERMERS, 2008. "False Discoveries in Mutual Fund Performance: Measuring Luck in Estimated Alphas," Swiss Finance Institute Research Paper Series 08-18, Swiss Finance Institute.
- Laurent BARRAS & Olivier SCAILLET & Russ WERMERS, 2005. "False Discoveries in Mutual Fund Performance: Measuring Luck in Estimated Alphas," FAME Research Paper Series rp163, International Center for Financial Asset Management and Engineering.
- Wermers, Russ, 2012. "A matter of style: The causes and consequences of style drift in institutional portfolios," CFR Working Papers 12-04, University of Cologne, Centre for Financial Research (CFR).
More about this item
Keywords
Mutual Fund Classification; Style Analysis; Investor’s Protection;All these keywords.
JEL classification:
- G18 - Financial Economics - - General Financial Markets - - - Government Policy and Regulation
- G24 - Financial Economics - - Financial Institutions and Services - - - Investment Banking; Venture Capital; Brokerage
- G30 - Financial Economics - - Corporate Finance and Governance - - - General
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:pra:mprapa:2029. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Joachim Winter (email available below). General contact details of provider: https://edirc.repec.org/data/vfmunde.html .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.