The Efficiency of Mutual Funds
p. 1-43
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oai:112.137.131.14:VNU_123-603652017-12-11T08:15:59Z The Efficiency of Mutual Funds García, Javier Vidal Vidal, Marta Boubaker, Sabri Hassan, Majdi Mutual Funds Portfolio Efficiency Data Envelopment Analysis Multiple Criteria Decision p. 1-43 This paper analyzes the short-term market efficiency of the mutual fund industry around the world. Using a unique database of worldwide domestic equity funds, it employs a parametric (regression model) and non-parametric (Data Envelopment Analysis (DEA) model) approaches to establish a relation between cost (expense ratio, turnover, loads, and risk) and benefit (return) of mutual funds. The empirical results of the parametric approach show a statistically significant negative relationship between expenses and risk-adjusted performance across countries. When we reexamine this relationship using a non-parametric approach, we show, in contrast to our previous result, a positive relationship between expenses and risk-adjusted performance. Thus, using the DEA methodology, we find strong evidence that equity mutual funds around the world are approximately meanvariance efficient. 2017-11-22T03:45:40Z 2017-11-22T03:45:40Z 2016 Article http://repository.vnu.edu.vn/handle/VNU_123/60365 en application/pdf |
| institution |
Vietnam National University, Hanoi |
| building |
VNU Library & Information Center |
| country |
Vietnam |
| collection |
VNU Digital Repository |
| language |
English |
| topic |
Mutual Funds Portfolio Efficiency Data Envelopment Analysis Multiple Criteria Decision |
| spellingShingle |
Mutual Funds Portfolio Efficiency Data Envelopment Analysis Multiple Criteria Decision García, Javier Vidal Vidal, Marta Boubaker, Sabri Hassan, Majdi The Efficiency of Mutual Funds |
| description |
p. 1-43 |
| format |
Article |
| author |
García, Javier Vidal Vidal, Marta Boubaker, Sabri Hassan, Majdi |
| author_facet |
García, Javier Vidal Vidal, Marta Boubaker, Sabri Hassan, Majdi |
| author_sort |
García, Javier Vidal |
| title |
The Efficiency of Mutual Funds |
| title_short |
The Efficiency of Mutual Funds |
| title_full |
The Efficiency of Mutual Funds |
| title_fullStr |
The Efficiency of Mutual Funds |
| title_full_unstemmed |
The Efficiency of Mutual Funds |
| title_sort |
efficiency of mutual funds |
| publishDate |
2017 |
| url |
http://repository.vnu.edu.vn/handle/VNU_123/60365 |
| _version_ |
1680965654602055680 |