EURO2013

REVISITING THE DETERMINANTS OF MUTUAL FUND PERFORMANCE

Invited abstract in session TA-65: Finance, stream Emerging Applications in Portfolio Selection and Management Science.

Area: Emerging Applications of OR

Tuesday, 8:30-10:00
Room: R18-5

Authors (first author is the speaker)

1. Amparo Soler-Dominguez
Universitat Jaume I
2. Emili Tortosa-Ausina
Departament d'Economia, Universitat Jaume I
3. Juan Carlos Matallin-Saez
Finance and Accounting, Universitat Jaume I

Abstract

This study is focusing on both fund and manager characteristics in order to understand their influence on the efficiency achieved. We apply a two-stage approach, considering partial frontier estimators to assess performance in the first stage, and regression quantiles for isolating the determinants of efficiency in the second stage. Our analysis provides some arguments as a guide for selecting both funds as well as some managerial features.

Keywords

Status: accepted


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