The Investment Performance of Mutual Funds: An Empirical Investigation of Timing, Selectivity, and Market Efficiency

Kon, Stanley J.; Jen, Frank C.

doi:10.1086/296046

Cited by 128 publications

(58 citation statements)

References 26 publications

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“…Kon and Jen [5] used Sharp-Lintner-Mossine (SLM) and Black models of market equilibrium to examine mutual fund stock selectivity performance when management is concurrently engaged in market timing activities. He found that on average, fund managers as well as individuals are unable to select individual securities perfectly to coup up with the expenses and fees of research, management and commission.…”

Section: Review Of Related Literaturementioning

confidence: 99%

Performance Evaluation of Bangladeshi Mutual Fund: An Analysis of Monthly Return Based on Net Asset Value

Biplob¹

2017

Int J Econ Manag Sci

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Section: Review Of Related Literaturementioning

confidence: 99%

Performance Evaluation of Bangladeshi Mutual Fund: An Analysis of Monthly Return Based on Net Asset Value

Biplob¹

2017

Int J Econ Manag Sci

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“…During the seventies and eighties, very few studies detected the existence of this phenomenon (e.g., Kon and Jen 1979;Lehman and Modest 1987). However, in the early nineties, many studies provided empirical results to support the persistence, such as those conducted by Grinblatt and Titman (1992), Hendricks et al (1993), Goetzmann and Ibbotson (1994), Brown and Goetzmann (1995), and Elton et al (1996).…”

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confidence: 99%

Performance persistence and its influence on money and investor flows into Spanish pension plans

Agudo

Vicente

Andreu

2008

Rev Quant Finan Acc

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“…These findings allowed for establishing tools for measuring mutual fund performance. The early studies by Carlson (1970) and by Kon and Jen (1979) suggested that mutual funds may be unable to generate abnormal returns, among others due to management fees and other expenses. However, further studies (e.g.…”

Section: Conceptual Issues and A Brief Literature Reviewmentioning

confidence: 99%

The Return Variability and Dispersion: Evidence from Mutual Funds in Post-Transition Countries

Filip¹

2017

FAI

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The purpose of the paper is to evaluate the performance of mutual funds operated in selected post-transition countries and to analyse their return variability and dispersion. The study sample consists of 294 equity funds (domestic and foreign ones) from the Czech Republic, Hungary and Poland. By using classic measures of return as well as popular measures of risk, it was possible to examine if equity funds from the CEE countries possess the ability to outperform. It was observed that funds generally obtained mean returns, which were below the corresponding benchmark. In most cases, however, the results were statistically insignificant. Fund returns compared to equity indices were characterised by lower ups and downs, especially during significant market changes. The analysis of performance variability and dispersion showed that there are entities which achieve marginally better return than their competitors at a relatively low risk level. The test for equality of variances applied in the study revealed evidence for the heterogeneity of return variabilities, which could be caused by sample selection bias.

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The Investment Performance of Mutual Funds: An Empirical Investigation of Timing, Selectivity, and Market Efficiency

Cited by 128 publications

References 26 publications

Performance Evaluation of Bangladeshi Mutual Fund: An Analysis of Monthly Return Based on Net Asset Value

Performance Evaluation of Bangladeshi Mutual Fund: An Analysis of Monthly Return Based on Net Asset Value

Performance persistence and its influence on money and investor flows into Spanish pension plans

The Return Variability and Dispersion: Evidence from Mutual Funds in Post-Transition Countries

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