Conditional performance evaluation and the relevance of money flows for Australian international equity funds

Pacific Basin Finance Journal

Volumn 14, Issue 3, 2006, Pages 231-249

  Benson, Karen L ^a   Faff, Robert W ^b  

^a UNIVERSITY OF QUEENSLAND   (Australia)

^b MONASH UNIVERSITY   (Australia)

Author keywords

Australian international equity funds; Conditional performance; Money flows

Indexed keywords

EID: 33744786533     PISSN: 0927538X     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.pacfin.2005.10.002     Document Type: Article

References (21)

1. Adler M., and Dumas B. International portfolio selection and corporation finance: a synthesis. Journal of Finance 38 (1983) 925-984
2. Benson K., and Faff R. Exchange rate sensitivity of Australian international equity funds. Global Finance Journal 14 (2003) 95-120
3. Benson K., and Faff R. A Performance analysis of Australian international equity trusts. Journal of International Financial Markets, Institutions and Money 13 (2003) 69-84
4. Benson K.L., and Faff R.W. The relationship between exchange rate exposure, currency risk management and performance of international equity funds. Pacific-Basin Finance Journal 12 (2004) 333-357
5. Christopherson J.A., Ferson W.E., and Turner A.L. Performance evaluation using conditional alphas and betas. Journal of Portfolio Management 26 (1999) 59-72
6. Del Guercio D., and Tkac P.A. The determinants of the flow of funds of managed portfolios: mutual funds vs. Pension funds. Journal of Financial and Quantitative Analysis 37 (2002) 523-557
7. Edelen R.M. Investor flows and the assessed performance of open-end mutual funds. Journal of Financial Economics 53 (1999) 439-466
8. Edelen R.M., and Warner J.B. Aggregate price effects of institutional trading: a study of mutual fund flow and market returns. Journal of Financial Economics 59 (2001) 195-220
9. Ferson W.E., and Harvey C.R. The risk and predictability of international equity returns. Review of Financial Studies 6 (1993) 527-566
10. Ferson W.E., and Schadt R.W. Measuring fund strategy and performance in changing economic conditions. Journal of Finance 51 (1996) 425-461
11. Ferson W.E., and Warther V.A. Evaluating fund performance in a dynamic market. Financial Analysts Journal 52 (1996) 20-28
12. Ghysels E. On stable factor structures in the pricing of risk: do time-varying betas help or hurt?. Journal of Finance 53 (1998) 549-573
13. Harvey C.R., and Zhou G. International asset pricing with alternative distributional specifications. Journal of Empirical Finance 1 (1993) 107-131
14. Ippolito R.A. Consumer reaction to measures of poor quality: evidence from the mutual fund industry. Journal of Law and Economics 35 (1992) 45-69
15. Randall M.R., Suk D.Y., and Tully S.W. Mutual fund cash flow and stock market performance. Journal of Investing 12 (2003) 78-80
16. Sawicki J. Investors' differential response to managed fund performance. Journal of Financial Research 24 (2001) 367-384
17. Sawicki J., and Ong F. Evaluating managed fund performance using conditional measures: Australian evidence. Pacific-Basin Finance Journal 8 (2000) 505-528
18. Solnik B. Testing international asset pricing: some pessimistic views. Journal of Finance 32 (1977) 500-524
19. Solnik B. The performance of international asset allocation strategies using conditioning information. Journal of Empirical Finance 1 (1993) 33-55
20. Warther V.A. Aggregate mutual fund flows and security returns. Journal of Financial Economics 39 (1995) 209-235
21. White H. A heteroskedasticity-consistent covariance matrix estimator and a direct test for heteroskedasticity. Econometrica 48 (1980) 817-838