search query: @freeterm mutual funds / total: 29
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| Author: | Leite, P.A. Cortez, M.C. |
| Title: | Conditioning information in mutual fund performance evaluation: Portuguese evidence |
| Journal: | European Journal of Finance
2009 : JUL/SEP, VOL. 15:5-6, p. 585-605 |
| Index terms: | Portugal Europe stock markets models performance appraisal |
| Freeterms: | mutual funds |
| Language: | eng |
| Abstract: | Using unconditional and conditional models of performance (henceforth as: perf.) evaluation, this paper estimates and compares the perf. of Portuguese-based mutual funds investing in the domestic and in the European markets. Besides applying both partial and full conditional models, European information variables are used instead of the most common local ones. In order to avoid spurious regressions, stochastically detrended conditional variables are considered. Among others, the results suggest that mutual fund managers are not able to outperform the market, presenting negative or neutral perf. It is also shown that the number of lags to be used in the stochastic detrending procedure is a critical choice, as it will impact the significance of the conditioning information etc. |
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