Determinants of mutual fund underperformance: A Bayesian stochastic frontier approach

European Journal of Operational Research

Volumn 151, Issue 3, 2003, Pages 617-632

  Annaert, Jan ^a,b   Van den Broeck, Julien ^b   Vennet, Rudi Vander ^a  

^a GHENT UNIVERSITY   (Belgium)

^b UNIVERSITY OF ANTWERP   (Belgium)

Author keywords

Finance; Investment analysis; Mutual funds; Stochastic frontier

Indexed keywords

MARKETING; PROBLEM SOLVING; STATISTICAL METHODS; STOCHASTIC PROGRAMMING;

MUTUAL FUNDS;

FINANCE;

EID: 0041735222     PISSN: 03772217     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0377-2217(02)00603-3     Document Type: Article

References (49)

1. Ackermann C., McEnally R., Ravenscraft D. The performance of hedge funds: risk, return and incentives. Journal of Finance. 54(3):1999;833-874.
2. Aigner D., Lovell C.A.K., Schmidt P. Formulation and estimation of stochastic frontier production function models. Journal of Econometrics. 6:1977;21-37.
3. Arickx F., Broeckhove J., Dejonghe M., van den Broeck J. BSFM: A computer program for Bayesian stochastic frontier models. Computational Statistics. 12(3):1997;403-421.
4. Blake D., Timmermann A. Mutual fund performance: Evidence from the UK. European Finance Review. 2(1):1998;57-77.
5. Broeckx F., Goovaerts M., van den Broeck J. On the prior density functions proposed by Jeffreys and Haldane in a Bayesian framework. Belgisch Tijdschrift voor Statisitek, Informatiek en Operationeel Onderzoek. 14(1):1974;19-33.
6. Brown S.J., Goetzmann W.N. Performance persistence. Journal of Finance. 50(2):1995;679-698.
7. Brown S.J., Goetzmann W., Ibbotson R.G., Ross S.A. Survivorship bias in performance studies. Review of Financial Studies. 5(4):1992;553-580.
8. Cai J., Chan K.C., Yamada T. The performance of Japanese mutual funds. Review of Financial Studies. 10(2):1997;237-273.
9. Carhart M.M. On the persistence of mutual fund performance. Journal of Finance. 52(1):1997;57-82.
10. Cesari, R., Panetta, F., 1998. Style, fees and performance of Italian Equity Funds. Temi di discussione del Servizio Studi, 325, Banca d'Italia.
11. Chen C.R., Lee C.F., Rahman S., Chan A. A cross-sectional analysis of mutual funds' market timing and security selection skill. Journal of Business Finance and Accounting. 19(5):1992;659-675.
12. Christopherson J.A., Ferson W.E., Glassman D.A. Conditioning manager alphas on economic information: another look at the persistence of performance. Review of Financial Studies. 11(1):1998;111-142.
13. Dahlquist, M., Engström, S., Söderlind, P., 1999. Performance and characteristics of Swedish mutual funds 1993-97. Mimeo, Stockholm School of Economics.
14. Dermine J., Röller L.-H. Economies of scale and scope in French mutual funds. Journal of Financial Intermediation. 2:1992;83-93.
15. Detzler M.L., Wiggins J.B. The performance of actively managed international mutual funds. Review of Quantitative Finance and Accounting. 8(3):1997;291-313.
16. Droms W.G., Walker D.A. Investment performance of international mutual funds. Journal of Financial Research. 17(1):1994;1-14.
17. Droms W.G., Walker D.A. Mutual fund investment performance. Quarterly Review of Economics and Finance. 36(3):1996;347-363.
18. Elton E.J., Gruber M.J. Modern Portfolio Theory and Investment Analysis. fifth ed. 1995;John Wiley & Sons, New York.
19. Elton E.J., Gruber M.J., Das S., Hlavka M. Efficiency with costly information: A reinterpretation of evidence from managed portfolios. Review of Financial Studies. 6(1):1993;1-22.
20. Elton E.J., Gruber M.J., Blake C.R. Survivorship bias and mutual fund performance. Review of Financial Studies. 9(4):1996;1097-1120.
21. Fama E.F. Efficient capital markets: A review of theory and empirical work. Journal of Finance. 25(2):1970;383-417.
22. Fama E.F. Efficient capital markets: II. Journal of Finance. 46(5):1991;1575-1617.
23. Fama E.F., French K.R. The cross-section of expected stock returns. Journal of Finance. 47(2):1992;427-465.
24. Fama E.F., French K.R. Common risk factors in the return on stocks and bonds. Journal of Financial Economics. 33(1):1993;3-56.
25. Giavazzi, F., Danthine, J.-P., von Thadden, E.L., 2000. European financial markets after EMU: A first assessment. Discussion Paper, 2413, CEPR.
26. Goetzmann W.N., Ibbotson R.G. Do winners repeat? Journal of Portfolio Management. Winter:1994;9-18.
27. Grinblatt M., Titman S. The persistence of mutual fund performance. Journal of Finance. 47(5):1992;1977-1984.
28. Grinblatt M., Titman S. Performance evaluation. Jarrow R.A., Maksimovic V., Ziemba W.T. Finance, Handbooks in Operations Research and Management Science. 9:1995;581-609.
29. Grossman S.J., Stiglitz J.E. On the impossibility of informationally efficient markets. American Economic Review. 70(3):1980;393-408.
30. Guy J.R.F. An examination of the effects of international diversification from the British viewpoint on both hypothetical and real portfolios. Journal of Finance. 33(5):1978;1425-1438.
31. Hendricks D., Patel J., Zeckhauser R. Hot hands in mutual funds: Short-run persistence of relative performance, 1974-88. Journal of Finance. 38(1):1993;93-130.
32. Indro D.C., Jiang C.X., Hu M.Y., Lee W.Y. Mutual fund performance: Does fund size matter? Financial Analysts Journal. (3):1999;74-87.
33. Ippolito R. Efficiency with costly information: A study of mutual fund performance, 1965-1984. Quarterly Journal of Economics. 104:1989;1-23.
34. Ippolito R.A. On studies of mutual fund performance, 1962-1991. Financial Analysts Journal. (1):1993;42-50.
35. Jeffreys H. Theory of Probability. third ed. 1967;Oxford Clarendon Press, Oxford.
36. Jensen M. The performance of mutual funds in the period 1945-1964. Journal of Finance. 23:1968;389-416.
37. Kothari S.P., Warner J.B. Evaluating mutual fund performance. Journal of Finance. 56(5):2001;1985-2020.
38. Lintner J. The valuation of risk assets and the selection of risky investments in stock portfolios and capital budgets. Review of Economics and Statistics. 47:1965;13-37.
39. Loeb T.F. Trading cost: The critical link between investment information and results. Financial Analysts Journal. 39(3):1983;39-43.
40. Malkiel B.G. Returns from investing in equity mutual funds from 1971 to 1991. Journal of Finance. 50(2):1995;549-572.
41. McCauley, R., White, R., 1997. The euro and European financial markets. BIS Working Paper, 41, Bank for International Settlements.
42. Meeusen W., van den Broeck J. Efficiency estimation from Cobb-Douglas production functions with composed error. International Economic Review. 8:1977;435-444.
43. Sauer D.A. Information content of prior period mutual fund performance ranking. Journal of Economics and Business. 49(6):1997;549-567.
44. Sharpe W. Mutual fund performance. Journal of Business. 39:1966;119-138.
45. Sharpe W.F. Capital asset prices: A theory of market equilibrium under conditions of risk. Journal of Finance. 29(3):1964;425-442.
46. Sirri E.R., Tufano P. Costly search and mutual fund flows. Journal of Finance. 53(5):1998;1589-1622.
47. Treynor J. How to rate management of investment funds. Harvard Business Review. 43:1965;63-75.
48. van den Broeck J., Koop G., Osiewalski J., Steel M.F.J. Stochastic frontier models: A Bayesian perspective. Journal of Econometrics. 61:1994;273-303.
49. Winkler R.L. Combining forecasts: A philosophical basis and some current issues. International Journal of Forecasting. 5:1989;605-609.